You tap the Mailbox button until you see two lists; inboxes and accounts. Choose you account under the accounts list and you will see all the folders there. Here's an older illistration that shows what you need to do, except your going for the Junk folder instead of the Sent folder.
But: It must be an IMAP or Exchange account. POP accounts do not sync folders from the server.
Server level filtering still puts your junk mail in the Junk mail folder (on the server), so it's not any more risky than doing it after the fact.