Your message is sent to Microsoft as an example of a false positive to help improve their algorithm for determining SPAM in the future. This does not necessarily prevent the sender's messages from getting to you in the future nor will it prevent similar messages from reaching you in the short term.
You are not required to send false positives to Microsoft. Your messages are not sent to Microsoft by default if released from your Spam Notification emails directly using the "Release to Inbox" link. If you login to the Spam Quarantine web interface and release messages there, the default is to submit the message to Microsoft. You can opt out by unchecking the "Report messages to Microsoft for analysis" checkbox.
To prevent a sender from contacting you again, add them to your Blocked Senders List.