Have you set up a completely new iCloud account, requiring a new Apple ID? Or have you created an alias? (you would do the latter on the iCloud website).
Your signature says you have 10.6.3 on your Macbook Pro. Is this correct? Snow Leopard is not compatible with iCloud.
So, three possibilities:
1. If you have Snow Leopard, you can add the email part of the iCloud account only, but following the instructions here: Entering iCloud email settings manually in Snow Leopard or Leopard
2. If you have Lion 10.7.2 or above you can add the second account in System Preferences>Mail, Contacts and Calendars.
3. If you have simply added an alias, go to Mail Preferences>Accounts, select your existing iCloud account and in the 'Email Address' field add the alias address, separated from the main address by a comma. It will then appear in the drop-down list for new emails, and messages to it should in any case come directly to the same inbox as the main address.