The guy at game isn't exactly correct about needing a msn account for mail.
I have Xbox, and use a yahoo account.
Anyway the use of msn is to make things a little more social for you, especially if you plan to get windows eight or even windows phone at a later stage .
The main feature of msn in Xbox is so you can have msn messenger running in the background.
Personally as a gamer I found this irritating as messages would pop up on screen while you play (they may have changed this now, but I turned of my msn feed ages ago)
When you sign up it indeed suggests you need a msn account, of course, after all why would ms recommmend anything else? It however is NOT a requirement.
When you make your account if you are worried about the settings or not confident, first set up a 'dummy' account, as you get silver Xbox connection for free anyway. This should hopefully satisfy your curiosity.
If you get stuck however, nah your way to Xbox.com/support and look for Xbox ambassadors, ambassadors are people like myself who are on live chat, and can help.
Enjoy your time on Xbox.