If you check the checkbox, you will be asked to enter your Username and Password on the next screen. You will now see that you've added newsgroup reading to Outlook Express. You should be back at the first popup window. You may also notice that your news server name has popped in on the left side of the screen in the list of items. You will now be asked if you want Outlook to download newsgroups.
Outlook is VERY slow, so give it time.
It should load the available messages in the top window pane, and when you click one, you will see the body of the message appear in the bottom window pane.