You will have a 'main' Email address of, for example, [email protected] which you will choose when setting up the account. Have some alternatives standing by in case your first choice is already taken. Once set up, you cannot change this, and you must configure your Outlook Express or whatever to check for messages, as this is the one Sky will use to contact you.
Later you can add other addresses, for example, [email protected]. You can have anything in front of @ as long as it is not already in use.