SpamBayes is a spam filter, or more accurately, it's an email classification engine and a collection of programs that use that engine to filter spam.

Because different people use different technologies to receive their email, SpamBayes includes several different programs:

OutlookPlugin A plugin for Microsoft Outlook which tightly integrates classification and training into the Outlook interface. If you use Outlook (not including OutlookExpress, which is a very different program) then the OutlookPlugin is the best way for you to use SpamBayes.
Pop3Proxy A mail filter which sits between the user's POP3 server(s) and the user's mail client, and also presents a web-based training interface. If you receive your email via POP3 (as most Windows users do) and you don't use Outlook then the Pop3Proxy is the way to go. Most OutlookExpress users will want to use the Pop3Proxy.
ImapFilter A mail filter similar to the Pop3proxy but which talks the IMAP protocol. If you use IMAP to receive your email, this is the SpamBayes application for you.
SbFilter A simple mail filter suitable for embedding in a procmail environment. Most Unix gurus will want to use SbFilter.