The answer to that largely depends on your mail provider, since that's where
you'll get the server and login settings.
Most ISPs provide lots of help information on how to configure mail clients.
Note that unless you either have an old or a newer *and paid-for* Hotmail
account, you can't access it via Windows Mail or Outlook Express.
Once you know the email settings and have them successfully entered, your
mailbox is basically set up. You can then organize it as appropriate, with
subfolders.
HTH
-pk
If you want to use your Hotmail account, it probably won't work under
Windows Mail. You'll probably have to download and install Windows
Live Mail, which can connect to Hotmail: