I have seen a few of these messages, and myself, I have asked then I found out how you are suppose to do it.
Since I don't have an extra camera on me to take pictures of this, I will just have to do it word for word right now on how you will do this:
1) Enter your E-mail app, basically bring it up.
2) Hit the 'Menu' button.
3) Hit 'Add Account'
From there, you will see "Set Up email"
Put in your e-mail address, and put in your password for that e-mail address.You can configure Email for most accounts in just a few steps.
[ ] Send Email from this account by
[Manual Setup] [Next ->]
For those of you not using the a popular mail server, like Yahoo, or Live.com or the like, I highly recommend you use 'Manual Setup' button next. The reason why, is that it will allow you to pick what type of mail server you are connecting to. If you are connecting to Yahoo or Live.com or such, it will probably complete without issue.
You need to do a little work on your end for the following...
Pop3 and SMTP server, Ports and Security Type for your Mail server. Most mail servers use POP3, some will use IMAP. Either way, you need to inquire your mail server what this information is so you can put it in.
You enter in the data to the appropriate fields and it will test both incoming and outgoing e-mail.
This should be reasonably straight forward. One thing I will caution you with on all this, do not use the following:
Home -> Menu -> Settings -> Accounts & Sync
The Default Settings Menu does only allows for Gmail, Exchange and Facebook. What is listed here is for setting up e-mail through the Mail App. Trust me, it took me 4 days to figure out how to do this properly and a lot of the posts seem to neglect mentioning how to do this.