While SAAB is essentially correct you may not view anyone elses email address in the mail header you could indeed see your own there too.
DB6 - The problem you are experienceing is a weakness in the protocol for sending mail - this allows the application sending the mail to stamp any email address it likes as being the sender. The intended use for this was to allow the email account owner to move between networks (ISP's) and still be able to retain the same email address - however the SPAM merchants have exploited this for their own benefit.
A decent Antivirus/Antispam program will perform a domain lookup on the email address domain and compare that with the IP Address where the mail originated from and if they do not match will mark the message as spam.
There are some legitimate bulk mailing companies and mail re-directors that have registered their details with the leading AV companies so they dont get marked as spam but these operate on a code of conduct and should never send an email to you looking like its from yourself.
As SAAB said, whilst they are a pain in the rear the problem is so widespread that there is not the resources to tackle the problem at the source - the best thing you can do is install a good anti-spam program and alleviate the amount of spam that gets to your mail box.