You need to know your incoming and outgoing mail server settings when you’re setting up an email program. Apple provides a look-up website that will tell you what the settings are for your particular email address.
They do not save your email address (and you could use a phony one anyway– if your real email address is “firstname.lastname@example.org” you could enter “email@example.com” and get the same server settings. Obviously you would use your own username when setting up your mail program).
Here’s what you get if you put in firstname.lastname@example.org.
Note: newer versions of Apple’s Mac Mail program use the same information so when you’re setting up Mail, it often can figure out the settings for you. Apple’s mail settings lookup page is especially useful when setting up some other program.