From what I remember "Lead: Opened" indicates that owner/assigned user has viewed lead's reord. It won't tell you anything about email deliverability, spam campaign success rate etc.
You can track HTML emails - plain text emails won't have it.
Salesforce uses web bugs (also called "tracking pixels") for that. Don't treat the numbers you see there as something reliable. Many modern email clients block images from external servers so the message cannot "ping back".
The relevant report type is under Activities -> HTML Email Status. Non System Administrators might have problems accessing it (common cheat is to schedule the report or dashboard based on it to be emailed to regular users).
Alternative to this might be Content Deliveries (if you're using Salesforce Content), they allow tracking too + the user has to click some link to get the document so it's more accurate. And I'm sure there are even more sophisticated solutions on AppExchange or maybe witin ExactTarget...
While you're at this topic check also info about bounced emails. There's a decent blog post that goes bit more in-depth about it: http://www.shellblack.com/administration/email-deliverabilty-and-html-status-reports/