If you have mail, you will see a message in the ``Console'' window when you log in. The recommended way to check your e-mail is with Evolution, which you can start with the Mail button at the bottom-left. Evolution works similarly to mail clients you may have used before.
Two other ways are Webmail and Pine. Although Webmail is not as powerful as the other two, you can use it from any computer (as well as Athena) by visiting http://webmail.mit.edu/. If you prefer the command line, you may like Pine, which you can use by typing pine at a terminal.