Sounds like you don't have your printer drivers installed so it's trying to print to a file and asking where you want to save it.
Do you have the disk that came with your printer? If not, you can go to the manufacturer's website and look up your printer model and download the drivers for free from there. Make sure you get Vista drivers.
To set up an account in Windows Mail you need to know your ISPs incoming (POP3) and outgoing (SMTP) server names as well as your username and password. Once you have that information then start Windows Mail and if the setup wizard does not begin automatically then do the following:
1. Click the Tools menu and then click Accounts.
2. In the window that appears, click the Add button on the right.
3. Select Email Account from the list and click Next.
4. Type your name in the Display Name field and click Next.
5. Type your email address in the box and click Next.
6. This window needs you to enter the incoming and outgoing server names that you should have gotten from your ISP. After you've done that, click Next.
7. Enter your email username (which is usually just the first part of your email address before the @ symbol) and your password in this window and then click Next.
8. Now you click Finish and you're done. If you are connected to the Internet then Windows Mail will download your messages.
I hope that gets you on the right track. :-)