1. You can send files to another user by dragging the file into the pane where you usually type a message to them. The recipient can then choose to download it. I wouldn't worry too much about that Share Folder thing.
2. You don't say whether you have web-based email (such as Hotmail or Yahoo) or are using a program such as Outlook Express or Thunderbird), but a firewall does not control what email you get. if you are starting to get more and more spam mail then the chances are that your email address has been "harvested" off some website you may have written it on or from a mailing list you joined. Nothing you can do about it.
If you are not using web-based email, then you could use Mailwasher that will allow you to remove Spam before you download it, or use Thunderbird that has good junk mail filters in it.