Save the file to your computer, go to Outlook Express, click Tools menu -> Accounts -> Import and select the downloaded file with configuration. (This tool for Gmail POP3, Gmail IMAP, Hotmail/Live and Yahoo mail.)
The difference between Outlook Express and an online email service such as GMail, Hotmail, Yahoo! etc. is that it lets you browse, read and compose emails from your computer even when you are not connected to the net.