If you have never used Mail before, it will open this window so that you can set up your email account. If you have one of the more popular accounts shown here, select it, if not, select Add Other Account.
If you've had a go before but not been successful, at the top left of your screen, on the menu bar is the word Mail in bold type. Click on this and then select the option Preferences and from there, click on Accounts. In the window that opens, underneath the list of accounts (there may be just one) click on the + button to start afresh. (once you're up and running, you can delete any previous, unsuccessful attempts with the - button!)