Great advice and explanations from these guys already. Basically, here is likely what you need to do to get this working:
1) Create an actual mailbox, and name it something similar... say "whiffer@" or "nomatch@" etc. You'll want to set up some pretty stringent limits on it as far as space and number of messages, etc... because as they explained, a lot of times spammers will just make up addresses like "firstname.lastname@example.org" and send it to random email addresses like that. They'll all end up in the catch-all@ because of course, they're not valid recipients.
2) After that mailbox is created, you may want to login to it to make sure everything gets created properly and the account is actually made and works.
3) Go back into the mail area and "Add" a new email address.
4) Go down to "Forward Only email" and enter "catch-all" in the first part and select your wanted domain from the dropdown.
5) In the second box, (the one where these "catch-all" emails will be sent to), enter the address you created in step 1. This will be your official catch-all email address that you can login to, etc... is the actual email address you made in step 1, NOT catch-all@yourdomain. That is not a "real" email address, per-se, it simply forwards any stray emails to that mailbox.
6) You likely do NOT want to use your normal email address or something like that as the address for catch-all@ to forward to, unless you want a ton of spam flooding into your personal account... that's why we set up a totally separate mailbox to simply fufill this duty. To store the random emails that don't hit a valid email.
7) Login as often as you deem necessary and see what all kind of nasties you've collected for yourself.
Hopefully that should get you fixed up. The others did a great job as well, and their advice was also correct. Let us know how it goes.
After you have it all set up, just send an email to email@example.com, then go check the mailbox that your catch-all@ forwards to. See if it's in there. If so, you've successfully set up a catch-all address. The good part about that as well is that with it being a real mailbox, you can set up rules... for instance, if it's any email addresses that you know, you may want to reply with a message telling them that's not your correct email... like using a whitelist. You can be very flexible with that.