Mail exchange, or MX records, are used specifically to set up and route email. These records tell email hosting services where your email is hosted, so email messages sent to you can be delivered.
To set up email hosting, you should receive at least two MX records, and part of their setup will often include different priority numbers. This tells mail servers how to send the mail. If one or more server is unavailable, mail can be routed via your second, third, etc. mail server, using that server's MX record.
MX records cannot have a priority of 0 in our system, but 5 or 10 is common for the first one. If you are given instructions to use a priority of 0, just use 1 instead. It will work the same.