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

Choose the directory by clicking on the button next to Path in the Configuration section. Some default folders are available in the list. If the directory is not among those folders, choose the last option Other.... This will open a directory 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 came to this page from the first-run wizard help page, click here to continue with the next step.