I got the spam too. It was blatantly obvious that it was a spam. Like all spam, I did not open the message. There is no "mark as spam/delete" button in the Convo area for unopened messages, so I simply deleted it and went on with daily life...
You can't protect against spam here. Convos don't have an anti-virus or link-checker function. Convos also do not have any sort of block filters so you can't specify how to block an email (like if it contains a gibberish phrase or "enlarge your ____", etc.) before it gets to you.
Hopefully the Etsy team will delete the spammer accounts and we'll all be okay again.
Thank for the information. I was half asleep when I opened it and didn't know if by doing so my computer would start having problems. In the future, I'll be more careful.
Also, at the bottom of the page on your e-mail that says you've got a convo - there is a report abuse link - I used that and Etsy was very quick in responding and letting me know that they had removed the offender.