If you don't open them - no threat - just delete.
The best way to vet all mail is to close down the E-mail client[Outlook Express etc.]look at it first at your ISP server[Got to Web page log on go to mail box]
Read your mail there, delete what you don't like the look of.[I even deal with 'shorties' on line] Then when you have cleared the rubbish come out and fire up the E-mail program- only the mail you want will come in.
Then close the client program down.
All very Long Winded- but secure.