A spammer can embed some item that requires web access, like an image. It is very easy to embed a 1px transparent image in an email. When you open the mail, that image is accessed from his/her server.
So what? you may ask. The trick is that (s)he may create a unique picture for every email that (s)he sends. This offers a easy, clean technique to find out which email ids are being used.
So, just delete that message. Don't open it.
Also, do not post your email id on the web where a harvesting bot can access it