You've not given us a link to what agent you're referring to, so your question is difficult to answer. I'm going to guess that to get the email to case agent to install behind your firewall you've gone to the wiki. Email-to-Case is only used if you have a requirement to keep all email traffic within your firewall and you want to accept email attachments larger than 10 MB from customers. The directions for setting it up are found in the following document: Setting Up Email-to-Case or On-Demand Email-to-Case.

If you don't need to handle everything behind your firewall or process attachments larger than 10 MB, you can set up On-Demand Email to Case as described in the same document without using the email to case agent. In that situation, an Apex email handler is used to process the email through Salesforce for you. More details are described in the referenced document that details the differences between the two.

You've not given us a link to what agent you're referring to, so your question is difficult to answer. I'm going to guess that to get the email to case agent to install behind your firewall you've gone to the wiki. Email-to-Case is only used if you have a requirement to keep all email traffic within your firewall and you want to accept email attachments larger than 10 MB from customers. The directions for setting it up are found in the following document: Setting Up Email-to-Case or On-Demand Email-to-Case.

If you don't need to handle everything behind your firewall or process attachments larger than 10 MB, you can set up On-Demand Email to Case as described in the same document without using the email to case agent. In that situation, an Apex email handler is used to process the email through Salesforce for you. More details are described in the referenced document that details the differences between the two.

Edit

I spoke with Salesforce Support yesterday and learned why they're no longer supporting the Email-to-Case client and what the recommended solution is.

The Email-to-Case client requires you to store a user's log-in your credentials in a config file or Java Jar class. That makes the E2C client less secure, thus the reason Salesforce has removed the download link for it and is no longer supporting new instances of it (very limited support for existing installs).

Support recommends that you use the On Demand Email2Case which is more more secure as there's no need to store any credentials. All you need do is set up emails to from your case support email address to forward to the email address that you'll configure in OnDemand Setup.

Once you do that, it will work from behind your firewall and recognize that it's been forwarded from your server to and is a new case from the contact who originated the email. You can even configure the service to only accept emails from your support email address if you want to; making it more secure in terms of in-bound emails. The down side to this solution is that you'll still need to deal with the replies you send coming from a Salesforce Server using the email address that you'll configure in the OnDemand Setup. It won't originate from your server.