Once your mailbox is ready to go, you can add your account to your preferred email application. Whilst you can add your account to most modern email clients, the recommendation is to use Outlook.
For Office 365 (Exchange Online), the supported versions of Outlook are:
Outlook 2016 for Mac
Outlook for Mac for Office 365
You will need to have the password for your account ready when setting up in Outlook for Mac.
Outlook for Mac
If you have not set up an account in Outlook, you will be prompted automatically to add an account. Otherwise, you can add the account alongside any existing accounts in Outlook for Mac.