Once Thunderbird is installed, click on its icon to launch it. You will have to provide various details of your email provider. Please refer to your provider's documentation for the recommended IMAP and SMTP settings.
Thunderbird should launch with a Configuration Wizard. Select 'Skip this and use my existing email' option.
A window should pop up where you can enter your email address and password. Thunderbird will try to guess the required settings.
If it does not succeed, you have to enter the configuration parameters manually. In my case I had to enter the depicted details.
If everything was correct, Thunderbird should be able to connect to your mailbox and retrieve your emails.