How should it look like and where do you get stuck setting it up?
Do you want it to be part of your signature?
Then you can set it up in;
Tools-> Options-> tab Mail Format-> button Signatures...
You can have footnotes in a Word document. You would then attach that Word
document to your e-mail. Otherwise, if you want something at the bottom of
your e-mail, use signatures as already mentioned by Roady.