Okay, you have to have the server information in order to set up your e-mail in Outlook Express (i.e. POP and SMTP server names like mail.optonline.net and so forth.) Just navigate over to the support page for your internet service or e-mail provider, and they should have the step-by-step instructions for you for Outlook Express including settings.
After you enter the information from the support page, the Outlook Express account wizard will give you the opportunity to send a test message. Send one, and it should work if you entered the settings properly.
Now, regarding address books, when you use Outlook Express, when you set up an e-mail account, it sets you up with a blank address book. You can then fill up contacts in it as you go along, just like a paper one. But, you don't even need to have a single address in that address book as long as you know the e-mail addresses you are sending to and can type them in properly (like email@example.com
for example) in the "To:" field. So, don't sweat that too much. It's really just for convenience.
I hope this helps.