Sounds like you haven't set up to connect to email servers properly.
Your email provider is probably also your internet provider. Ask them
for their instructions for how to set up to use their email servers. If
they
haven't written instructions for Windows Mail yet, use their instructions
for Outlook Express but under Windows Mail instead. The instructions
are probably somewhere on their web site. Or, you could tell us who
your email provider is and see if anyone here already knows where to
find the instructions.