Aaron,
Do you have a static IP address ? If so, then ask your domain host to setup their servers to point mail.yourdomain.com to your IP address. Make sure your SME server is configured for your exact domain name during configuration. If you don't have a static IP, you can setup a dynamic DNS service and ask if your domain host will setup your dynamic dns name as the primary MX for your domain.
As to how to setup your server itself, the manual describes how to setup SME as a mail server (basically set it to standard in e-mail retrieval). Then under hostnames and addresses in SME server manager, point www back to the "real" www address as hosted by your web host (for more details, search the forums as this has been discussed a number of times before).
Kelvin