we just got our e-newsletter set-up and sent out a mass

we just got our e-newsletter set-up and sent out a mass newsletter to our list, everything worked perfectly, however i found a spam email in my mailboxes this morning, one of which is really only used to catch emails from the e-newsletter plugin. i am wondering if there is some connection to the plugin. I did not set up "Bounce Email" I am not sure what this is, and how i can actually use it. in the setting tab, where it has bounce settings it says to enable "Imap PHP extension for bounce to work"

please let me know what i should do

Thanks

Nikesha