The default action for messages Thunderbird thinks is Junk is to place a Junk icon beside it and keep it in your Inbox. You would have to set junk controls differently to create a Junk folder to move the message there. http://kb.mozillazine.org/Junk_Mail_Controls

That being said, your provider might do spam filtering and have a spam folder. Check your account at your providers web mail site to see what they have.

open your account settings and check under junk what you asked TB to do. At the same time check Global junk preference (use the button provided).

If that looks ok right click on a folder inside your account and subscribe Is the junk-folder marked?

EDIT Didnt see the other answer, as said it could be named spam.