You can create custom mail filters from Cpanel -> Mail -> E-mail Filtering.
User Level filtering:
Step 1: To access the user level filtering menu, click on the User Level Filtering icon on the main screen of your cPanel interface.
Step 2: Click on Manage Filters next to the account for which you wish to add filters.
Step 3: To add a filter, click on Create a new Filter.
Step 4: In the Filter Name field type in a unique name for the filter.
Step 5: From the Rules options you should choose the rules a mail should match in order to be filtered.
Step 6: From the Actions drop-down menu, you should choose what action should be performed when a mail matches a rule in the filter.
Step 7: To enable the filter, click on create.
Account level filtering:
Account level filtering is the same as user level filtering, with the only difference that the filters created here are applied globally for the whole cPanel account.