An MX (standing for mail exchanger) record defines what server is responsible for dealing with all emails. In MX records, there are different priorities. The higher the number, the lower the priority. Thus, if you have a priority of 0, then this server will be attempted first.
An MX record has to be a full qualified domain name. It cannot directly be an IP address, however it is very simple to create an A record pointing to mail.yourdomain.com, and then adjusting the proper MX entry.
The main purpose of MX entries is to not only direct mail, but use priorities to allow near 100% uptime for all email communication. You can theoretically setup multiple mail servers as backups for your email, however this is not normally used in a simple shared hosting environment.