If you have a Hotmail account, you'll add it to Outlook Express as you would any other email account.
Use the Accounts item under the Tools menu.
Create an entry for an account as usual using the Add button.
When you specify an address ending in @hotmail.com, OE will recognize it as a Web-based account and give you a number of Web-specific options, including downloading your Hotmail folder structure.
If you don't have a Hotmail account, you can use Outlook Express to create one.
Go to the Create New Account... menu item under the Tools menu.
After creating a Hotmail account in OE you will be able to use it like any other POP mail account: for retrieving email from Hotmail and storing it on your local hard drive, using OE's sophisticated filtering capabilities, and so on.