It's an easy forgery. If you have your own email server, you can even forge the "From " field, even though some providers will verify back and will reject it, but then again, I am sure there are ways around it.
Anyway, it's a common trick on the net. Pay no attention to it. No one else does.
The only problem is, if they start spamming others with your email address as the source, some places may list you as a spammer, and your emails will be rejected automatically in the future, even if they are perfectly legitimate.
The only solution is to start taking malicious spammer seriously, but apparantly no one in the government does.