You already have a good handle on creating message rules, now the key is to change the way the rules handle the emails you don't want. You can change it to actually delete the unwanted messages on the server (in your mailbox) before you download them, a much preferred method that I think is what you are after.
With Outlook Express open, click on 'tools', 'message rules', then 'mail'. You'll see a split window that shows in the top portion, New mail rule #1, New mail rule #2, etc. Off to the right of this window, you'll see a 'modify' button. click on this button to modify each entries values (how it handles the blocked mail).
The next screen will present you with 4 split windows to change settings on. 1, 2, 3 and 4. The top window (#1) is most likely set to 'Where the from line contains people'. This should be fine - Window #2 is where you need to make the change - scrool down window #2 to the bottom until you find the last entry 'delete from server'. put a check in the box next to it. Screens 3 and 4 should not need any modifications.
Click the 'ok' button all the way back out of the message rules and this will sett any of your rules you select to perform just what you want.