It's really no different to setup mail in Lin than Win, but some companies like Comcast include dumb little applications that set up all the settings for Windows on those CD's they tell you to use to connect (totally unnecessary).
Getting things going can be kind of tough at first, just wait until you want to view real and quicktime videos.

But stick with it ... you will eventually be happy to find new obstacles to overcome, and feel like a genuis when you do.