Like most email programs, Mail will check your mailbox for new messages automatically when you open it. Mail can also check your mailbox for new messages on a set interval. To set how frequently Mail checks your mailbox, select Mail from the menu bar, then Preferences. In the General tab, make a selection in the Check for new mail menu. You can set Mail to check your mail every hour, or every 5, 15, or 30 minutes. You can also disable the automatic checking of your mailbox by selecting Manually from the menu. You can set the sound that your computer will play when it receives new mail in the General tab by selecting it from the New mail sound menu.
You can still check your email anytime you want by clicking on the Get Mail icon in the toolbar (or by using the keyboard shortcut Command + Shift + N).