How do I set up my account so that it automatically sends out a message stating that I am on vacation when I receive an incoming message? How do I turn it off?

Use the 'vacation' program. You can read the vacation(1) man pages for usage info, but the quick-start method is to create a message you'd like to send in response to emails you receive and save it as ~/.vacation.msg, and then run vacation -i. To turn this off, simply remove ~/.vacation.msg.