Microsoft captures the majority of all incoming spam/phishing mail.
However, if you still receive phishing emails or spam directly in your inbox (not spam emails from the junk e-mail folder), we encourage you to report it. By that Microsoft will capture the email and ensure this will not cause harm to other users. See also tips on how to spot a phishing email.
Windows PC
The screendumps differ slightly from the Outlook client to webmail, but the procedure is almost the same.
Report phishing in Outlook 365 (old view)
Microsoft guarantees to catch 98% of all incoming spam, and that fewer than 1 in 250,000 is a false positive.
A false positive is an email which Microsoft marks as spam but which you did not consider to be spam.
Windows PC
How to report a false positive email