On the Receiving Email page (accessible via EditPreferencesMail AccountsEditReceiving Email):

Choose the file by clicking on the button next to Path in the Configuration section. This will open a file chooser window.

On the Receiving Options page (accessible via EditPreferencesMail AccountsEditReceiving Options):

If you want Evolution to check automatically for new messages, click the Check for new messages every ... minutes option and select the frequency in minutes.

If you want Filters to be automatically used for new messages in your inbox, enable Apply filters to new messages in INBOX.

If you came to this page from the first-run wizard help page, click here to continue with the next step.