Whether you have more than one email address or just want to avoid having to visit a webpage and log in regularly to check your email, clients like Outlook Express help make accessing your mail easier and centralized. Outlook Express comes with Windows and is easy to configure for hosts like Hotmail, Gmail, Yahoo, and AOL. Typically, if you select to add a new account to the program you will be provided with a number of email providers to choose from and all you need to do is enter the username and password while the rest of the settings are prepared automatically. Here is a website with some great Outlook Express tutorials.
If you can't use Outlook Express or don't like it, you might want to check out Eudora, Thunderbird (from the makers of Firefox), or just check this Wikipedia list that compares several mail clients so you can determine which one might be best for you.