Version 1.x had a simple "Rescue" command that let you retrieve any message that was incorrectly identified as spam. In order to improve accuracy for future mail, you could add the sender to your Friends or Spammers list, or you could create a new rule filter.
Version 2 introduces much easier training. Any time you rescue a message or mark a message as spam, Spamfire automatically trains the new Bayesian filter to recognize similar messages in the future. More about training.
Best of all, Spamfire can train itself. Spamfire uses multiple filters to identify spam, and Spamfire can train a less accurate filter with the results from more accurate filter. More about auto-training.