Are you referring to the Spam button in the toolbar, or the Spam folder or what? If you mean the button in the toolbar, when you select a message and then click on that button, it should move the email to your Spam folder.
All email providers have a Spam or Junk folder as part of the default folders list. Anything that the Comcast filters deem to be spam should go to that folder unless it's from known spam sources, in which case you never see it at all. But the purpose of that folder is for you to check it periodically to make sure no legitimate emails got routed there in error. This can happen in any email system, and is known as "false positives". You should look at it on a regular basis for that reason.
If Comcast never puts anything in your Spam folder, check
(gear icon) / Settings / Mail / Advanced Settings / Spam Filtering
and ensure the "Enable spam filtering" and "Save a copy of emails marked as spam" checkboxes are both selected.