How to change the notification settings?

Okay so I've just got an iPhone 4 and I've set the email notifications up but they don't actually show up until i click in mail, how do I change this?

Enabling Auto-Fetch Email

1) Touch the "Settings" icon on your iPhone.

2) Touch the "Mail, Contacts, and Calendars" option.

3) Touch "Fetch New Data."

4) Touch the On/Off button next to the word "Push" to turn the feature on.

5) Select how often you want your iPhone to check for new mail. Touch "Every 15 Minutes," "Every 30 Minutes" or "Hourly."

6) Press the home button on your iPhone to return to the home screen. Your new email settings have been saved.