If you want it to be able to send/receive mails, you have to buy that domain. Then, you choose how you want mail to be handled.
Services like gmail and hotmail let you config the MX records of your domain to point to their servers, so they handle them and you don't have to install a mailserver.
Also, MSN gives you the possibility of "associate" with their Live services. You can have a gmail account usable for MSN. Search for "msn passport"