You have to setup a formmail client on your server. However, most formmail clients handle HTML forms and not XML forms from Designer. If you want the e-mailed, then you will need to set up a web script that receives the XML file and then resends it to you. I know it can be done and if I had to I could probably put something together (many hours for me). I suspect there is a script available in one of the interactive languages (PHP or such) that already does something similar. So, I can only give you hope, not a step-by-step guide. Actually, I would be interested in such a script too, but haven't seen one yet.
You might want to post this over on the LiveCycle Designer forum. This forum is for forms created in Acrobat.