Of course you will have to actually do it at the AOL site.

Here is a link that might be useful: How do I block Spam in AOL Mail?

I don't have a solution but I DO have the same problem, only it's with Thunderbird. I can mark the items as being junk and then each time they come up they will be so marked, but I still have to manually delete each one. Frustrating.

Always move them to your junk mail folder do not just delete them that is how your email program learns what is junk.
Also it is not advised to click on the unsubscribe me because in actuality that lets them know it is a good valid email address and one that more spam can be sent to.
In most email programs you can set up extra filters other than the standard ones that come programed in. That would be in the program settings and options.
Hotmail has a sweep feature that if you get one email from a specific address you can tell it to send all future emails from them to a specific location including the junk mail folder. I don't know about aol.

Of course the number one way that your email address gets on the spammers list is by being on forwarded emails, so always remove the names and addresses before forwarding and use the BCC feature to hide all email addresses on the email.