Penfriend XL learns new words that you write, but these may include spelling mistakes as well as proper words. One simple way of filtering out the mistakes is to approve only words which have been used more than a certain number of times.
This option, in the Lexicon Window's menu, allows you to set a number of uses, above which the 'new' words will be approved. The less common words will remain as 'new' for you to handle separately, for example by deleting them.
See Also: Lexicon Window