This paper tackles automated screening of Retinopathy of Prematurity (ROP), one of the most common causes of visual loss in childhood. Clinically, ROP screening per case requires multiple color fundus images capturing different zones of the premature retina. A desirable model shall not only make a decision at the case level, but also pinpoint which instances and what part of the instances are responsible for the decision. This paper makes the first attempt to accomplish three tasks, i.e, ROP case classification, instance selection and abnormality localization in a unified framework. To that end, we propose a new model that effectively combines instance-attention based deep multiple instance learning (MIL) and spatial attention (SA). The propose model, which we term MIL-SA, identifies positive instances in light of their contributions to case-level decision. Meanwhile, abnormal regions in the identified instances are automatically localized by the SA mechanism. Moreover, MIL-SA is learned from case-level binary labels exclusively, and in an end-to-end manner. Experiments on a large clinical dataset of 2,186 cases with 11,053 fundus images show the viability of the proposed model for all the three tasks.