You can connect most desktop e-mail clients to your mailbox either by using the Microsoft Exchange option in your e-mail client or via the IMAP or POP3 protocols.
Connecting Outlook 2010 or 2007
Connecting Mozilla Thunderbird
Connecting Mac Mail on Snow Leopard
Connecting Entourage 2008
If your email client isn't listed, you can find generic IMAP, POP3 and SMTP server information here