Maybe I'm just dense, but I had one hell of a time trying to get the new CRM 4.0 E-mail Router configured. My main problem was trying to figure out how to configure the Deployments section. In the new E-mail Router Configuration Manager there are three tabs.
The first is the Configuration Profiles tab. This allows you to define incoming and outgoing routes for messages. Outgoing is only SMTP so you simply configure it for whatever outbound SMTP service you have. If you are running Exchange, then point this to your Exchange server. You also configure your incoming service. This can be Exchange or POP3. These are relatively straight forward. I called my profiles LCS-OUT for my outbound and LCS-IN for my incoming mail. The real problem I encountered was trying to figure out how to configure the Deployments tab.

When you create a New Deployment, you get this window
The box where you enter the Microsoft Dynamics CRM Server is where I had my problem/frustration. (Almost) No matter what I put in there, it didn't work in the final step. The dialog box recommends using https://discovery:80/<org>. There apparently is a Discovery service for IIS but it doesn't relate to CRM. I tried many things. I eventually tried using my actual server name instead of 'discovery'. When I would put in the server name, "LCS-SBS", it didn't like that. If I did it with the fully qualified domain name, same result. Finally, after MUCH frustration, and after searching the web (Google) and the CRM Implementation Guide, none of which were helpful, probably because I must be dense as stated at the beginning, I finally stumbled upon the very simple and, I guess, obvious answer, of using the URL that is used to access my CRM locally, http://LCS-SBS:5555/ plus the name of my CRM organization, LentzComputerServices. Note, this is not the 'friendly' name ;-) So, my entry for the Microsoft Dynamics CRM Server is http://lcs-sbs:5555/LentzComputerServices.
Once I did this, I went to the third tab and selected that deployment. Finally it was able to find and display the list of my CRM users and Queues. I completed the configuration.
The last step was to select the accounts I wanted to set up for the e-mail router and then Publish them. When I published, I noticed that numerous e-mail messages that should have been sent out over the last couple of weeks that I've been running CRM 4.0, mainly workflow generated, suddenly were sent! This brings ups good point. The E-mail Router in CRM 4.0 is needed not only for incoming but also for SENDING e-mail from CRM.
I searched the Internet a lot to resolve this issue but found nothing of use. I was lucky to stumble on the solution. Again, I'm probably dense, but perhaps there are other dense ones out there who will benefit from this tip.