I defined this in SpamX using 'Configure', 'Configure SpamX'.
From Windows Explorer, I selected this folder and right clicked. From the pop up menu I selected 'Send To', 'Desktop (create shortcut)'.
A folder icon is now visible on my Desktop called 'Shortcut to Spam'.
I now use this as my drop target when I drag and drop email from Outlook (I drag from Outlook, and drop on the folder icon on my Desktop).