You guys need to report these spammers via the XMB menu in you PS3.
When you get a message like that just hit the triangle button before opening it up. In the list to the right select report. This will send a report to Sony moderation who will deal with the spammers.
The problem is a lot of these spammers are, so far as Sony is aware, "legit users of the PSN". We only know if there is a problem if some one reports it. So please report these users when you do receive spam from them.
Just in case you don't know what XMB is this is your graphical user interface on the PS3. Its your main screen where are all the icons are. It generally looks like this: