Hi,
first you should check if the Users have the rigth to run Agetns. Therefor look into your server-document under security, there is a field "personal agents allowed". Empty means everybody is allowed. The enter you mail database, enter tools - Out of Office and enter the dates and notes you need. In 4.x I remember that there was a question to run it on server or local, if you get it always choose server, but I never seen this in R5. After you activated it, the standard setting is that Notes will check now every night at 1.00am if there is new mail for this user. So if you are testing it right now, you might have to wait until tomorrow to get the mail. You can change this if you go via view - agents - Out of Office Agent and change the field "when shall the agent be executed" from daily to "when new mail arrives". Then the Out of Office-Mail will be sent immidiatly.
Hope that helps. Have fun
Oliver