Re: 8520 didnt have "set up email" option!!
There's a newer version of the Blackberry Operating System for the 8520, it's now at version 5. BlackBerry recommends you update your handset to solve technical issues (if an update is available, which it is).
Best way to update your device is to install BlackBerry Desktop Software on your PC which you can download from here: http://us.blackberry.com/apps-software/desktop/
Install it. Connect your phone to the PC & open the PC software you just installed.
At the top-left of the software window, click "Device" >> "Update my device"
If you want to read the help file about this operation before doing that, click the question-mark at top-right of the software window, then click "How do I update my device software".