It depends on what sort of filter you're after. Install the User Manager panel, and each user can set up procmail rules to filter their mail. I believe dungog.net's commercial version adds an interface for global rules, though they can be templated manually. For spam, I have Vipul's Razor (
http://razor.sourceforge.net, the server-side version of cloudmark.com's SpamNet) running on our SME 5.0 without too much work.