The Mail icon in the Dock just takes you to a client which allows access to an existing email account which uses POP/IMAP/Exchange protocols. You may have an email account from your ISP, your school, business, or you can sign up for a free account from Hotmail, Gmail, Yahoo. Yahoo accounts (at least for the U.S.) cannot be configured in Mail unless you have a Yahoo Plus! subscription. To get a @me.com email address you have to enroll in the MobileMe service by Apple, and it is no longer possible to get a @mac.com address, unless you have had an active .Mac/MobileMe account from before one became the other service.