If you click the small "i" next to Advanced Email Security Settings, you'll get this box with the requirements for using this level of security. I typically skip that one, but it's up to you.

Note that the recommendation is to put the

Note that the recommendation is to put the link into the BCC section of your email. Otherwise, your recipient will probably be a bit confused, since it's long and sort of opaque.

Go to the icon of you in the upper right corner. Click settings.

Find the long long link and copy it.

Since I have several, I always add the organization name. Paste the link from your Personal Settings into the Email box.

I see that I sent an email called Testing Email to SF to one of my contacts in the system, and the bcc: is showing the Email.

Note that the ContactID of the person you sent the email to is shown as a link. You can click that and get to the contact page.

Note that the email comes in with Email: and then the Subject of the email, as long as the recipient's email is on your system.