This artice contains detailed step-by-step instructions on how to set up Mac Mail - http://kb.worldsecuresystems.com/924/cpsid_92462.html
I did all that but I still get that certificate validation message.
What do I need to know about that certificate? Why is it not valid?
Is it because the doamin is private and uses a proxy?
It's "technically" not valid because your incoming mail server is mail.samreesor.com which then connects to worldsecuresystems.com which is what BC (secure) runs on.
There's nothing wrong with this message as you know (and trust hopefully) the server you're connecting too. Mail's just informing you that your server name and the originating host name are different, which is what it says at the top of that box. If it's something else that you weren't familiar will, you'd be suspicious.
Click on Trust underneath and select the option to "Always trust this certificate." This will stop the message from continually showing up.
I'm actually not too sure why you'd get that warning mentioning worldsecuresystems.com. You are connecting to mail.samreesor.com, which is a CNAME to mail.samreesor.com.cust.b.hostedemail.com
There is no SSL certificate on samreesor.com. If you want to use SSL try connecting to mail.samreesor.com.cust.b.hostedemail.com. Make sure you also use a secure port.
Otherwise, untick the SSL and connect to mail.samreesor.com and bob's your uncle.