Because MH-E is undergoing a phase of sustained growth, the version of MH-E in your Emacs is likely to be out of date although it is most likely to be more up to date than the copy that comes with the MH distribution in miscellany/mh-e.
New MH-E releases are always available for downloading at SourceForge before they appear in an Emacs release. You can read the release notes on that page to determine if the given release of MH-E is already installed in your version of Emacs. You can also read the change log to see if you are interested in what the given release of MH-E has to offer (although we have no doubt that you will be extremely interested in all new releases).
If you use Debian, you can install the Debian mh-e package instead.
After you download and extract the MH-E tarball, read the README file and MH-E-NEWS. These correspond to the release notes and change log mentioned above. The file README contains instructions on installing MH-E. If you're already running Emacs, please quit that session and start again to load in the new MH-E. Check that you're running the new version with the command M-x mh-version.
In addition to the mh-e package, the SourceForge site also contains doc and contrib packages. The former is the latest release of this manual, and the latter contains a few contributed packages you might find useful.