Just wanted to drop this in here so I don't forget where it is.
This is a really good explanation of setting up
SpamAssassin for Windows and
hMailServer...
http://www.alterprocedure.net/articles/alterprocedure/how-to-configure-spamassassin-for-hmailserver-in-windows-server-2003.aspx
Really helped me out. I'm running it on Windows 7 in case you think you have to have an installation of Windows Server.
As far as the setup in hMailServer, I used localhost for the server address.