"Report SPAM" is one of the buttons across the top, above the message. It's the one with the exclamation mark "!", just to the left of the trash can. If you can't find it there, you can also go to the "More" drop-down menu (the three vertical dots in the upper right corner of the message) and then choose "Report spam".
When you feel a message is bad enough that you should not even open it, you can just click the checkbox next to the message in the listing (make sure it is the only one checked), and then click the Report SPAM button ("!") in the top.