SpamSieve shows the Welcome window, Statistics window, and help if you have not trained it with at least one good message and one spam message. The Welcome window says:
Please follow the setup instructions in the “Using SpamSieve” section of the manual, which is available from the Help menu. SpamSieve is easy to use, but it depends on proper setup and training in order to filter your mail accurately.
SpamSieve will stop showing this window when you’ve successfully begun training it with spam and good messages.
How many messages does the Statistics window say are in the corpus? Probably one of those numbers is zero.
This will happen automatically when you do the initial training. If you did this long ago and therefore don’t expect the corpus to be empty, the corpus was probably damaged due to a disk error or deleted for some other reason. In that case, you can either do the training or quit SpamSieve and restore the corpus file:
from a backup.