Most, if not all of the settings you change on the server which hosts your website are done in the Hosting Control Panel (henceforth referred to as just HCP).
The HCP is the main place to go when you want to make changes on the server(s) that actually host your domain name, it is used to perform tasks like creating / changing your email settings on the mail server and for many other uses like database creation / modification.
The internet location and login details to access the HCP will be in your Hosting Settings / Welcome email.
Before you setup your email addresses on your computer you must set them up on the server, so that mail can be delivered from other internet servers and so you can collect your mail.
Once you have logged in to your HCP you can setup your email addresses in the "Mail" or "Remote Mail" sections, for more details on how to setup your email addresses please check the FAQ / Knowledge Base of your Web Hosting company or contact their Tech Support staff.