You would generally make those on the email Server. If you are using iCloud, go to the web interface for iCloud and you can set it up there.
For other email account types, you can try their web interface.
You can create a rule that responds to all email and sends a reply, but you risk the chance of creating an endless loop when someone sends you an email, and has some sort of auto-reply set up on their email client.
You would also have to leave Mail open the entire time.