Use On-Demand Email-to-Case for every new setup, and pick the old Email-to-Case agent only if a policy says customer mail must never leave your network and you already run the agent. On-Demand needs no software, runs on Salesforce email services, and handles up to 1,000 emails per user license a day.
Setting up Email-to-Case in Salesforce comes down to four moves: turn it on, switch on the on-demand service, add a routing address, and forward your support mailbox to the address Salesforce generates. I built it in a Developer Edition org and sent a test email that became case 00001062.
You will see the comparison, the full build, what the test case got wrong, and how to move off the agent.