Where Do I place code to generate checkbox?

I am creating a check box, and am given the message to “Add code to mail fields below”

What fields is it referring to? All of the mail fields? I can see the check box on the contact form now, however, even if checked and submitted, it does not come through in an email to me that it was checked. I know it is because I don’t have that code in the right place.

http://wordpress.org/extend/plugins/contact-form-7/