Make it so Outlook does not open the first mail in the inbox

The only way to do this is to set the Message Preview off and set the Reading Pane off.

The message preview opens the mail and shows a 1/2 line preview. The reading pane will automatically open and show the selected mail if this is set ON.

With the reading pane off, no email will be opened automatically.

Whilst the answer by @HeXanon is great, it may not be ideal to turn off the pane, especially if you find the pane useful.

Another way, which is less intrusive, is to just ensure the details don't get back to the "spammer", which is what I think you're worried about.

Now I've written many marketing email programs which track users when they receive email, all the way through to what they do on the website if they click on my link... The issue is, Outlook doesn't allow Javascript, and as such, the only way I can track you is if you download the external content... This means, if you turn off the external content, I can't track you... So, regardless of whether you can see the email or not, providing the external content is not downloaded, you're protected!

Click the File tab.
Click Options.
Click Trust Center.
Under Microsoft Outlook Trust Center, click Trust Center Settings.
[Un]Check the Don't download pictures automatically in HTML e-mail messages or RSS items check box.

Source