By far and away the easiest way to set up mail is to...
- Have mail already working on your desktop machine.
- Plug-in your device.
- Launch iTunes.
- Select your device (left column.)
- Select the INFO tab (top.)
- Check the box that says "use mail settings from computer" (or similar.)
You could hand-copy all the settings from your mail-app into the Mail-settings page on your device, but it's just so much more complicated and error-prone!