We discuss all-sky convolution of the instrument beam with the sky signal in polarimetry experiments, such as the Planck mission which will map the temperature anisotropy and polarization of the cosmic microwave background (CMB). To account properly for stray light (from e.g. the galaxy, sun, and planets) in the far side-lobes of such an experiment, it is necessary to perform the beam convolution over the full sky. We discuss this process in multipole space for an arbitrary beam response, fully including the effects of beam asymmetry and cross-polarization. The form of the convolution in multipole space is such that the Wandelt-Górski fast technique for all-sky convolution of scalar signals (e.g. temperature) can be applied with little modification. We further show that for the special case of a pure co-polarized, axisymmetric beam the effect of the convolution can be described by spin-weighted window functions. In the limits of a small angle beam and large Legendre multipoles, the spin-weight 2 window function for the linear polarization reduces to the usual scalar window function used in previous analyses of beam effects in CMB polarimetry experiments. While we focus on the example of polarimetry experiments in the context of CMB studies, we emphasise that the formalism we develop is applicable to anisotropic filtering of arbitrary tensor fields on the sphere. 98.70.Vc,