When you sign up with a web host, they usually give you at least one free e-mail account. You now have (at least) two e-mail accounts. One with your ISP (username@your_isp.com) and the other with your web host. In your e-mail program, you will probably want to set it up so all of your mail comes to the same inbox. Some people like to handle their web host e-mail separately from their ISP mail, so they have separate e-mail readers to do this. If you get into heavy e-mail marketing, I would suggest this, otherwise, keep it simple by dealing with all your e-mail in the same place.
In some e-mail programs, there's an Accounts menu item in the Tools menu. This may appear somewhere else in your e-mail program. Choose this menu item and create a new POP mail account. Enter an account name (anything to distinguish it from your ISP mail account) and then your name and default web host e-mail address (ie, yourname@your_domain.com). Your account ID and password are your user name and password with your web host. Your POP server address should be mail.your_domain.com (but check with your web host to be sure). The SMTP server may be one provided by your web host or by your ISP. Your web host will need to provide this information as well. After clicking OK, you should be able to receive all your mail from both e-mail accounts.
Usually, your web host provides you with one main POP account and the ability to add others. For each new POP account you will need to go through the procedure above. Another, possibly better, way to handle many different e-mail addresses is to just set up separate folders in your e-mail program and use mail rules to automatically file incoming messages. Normally all mail sent to a domain name goes to a default e-mail address (ie username@your_domain.com). So you can receive mail for someothername@your_domain.com or webmaster@your_domain.com or orders@your_domain.com all through your default address, and then use mail rules to send all mail to orders@your_domain.com to a "Orders" folder. Get the idea?