These instructions usually involve the anonymous remailer network itself, thus protecting the true identity of the user.
Primordial pseudonymous remailers once recorded enough information to trace the identity of the real user, making it possible for someone to obtain the identity of the real user through legal or illegal means.
David Chaum wrote an article in 1981 that described many of the features present in modern pseudonymous remailers.
To set up a nym, one creates a PGP keypair and submits it to the nym server, along with instructions (called a reply block) to anonymous remailers (such as Cypherpunk or Mixmaster) on how to send a message to one's real address.
Existing "multi-use reply block" nym servers were shown to be susceptible to passive traffic analysis with one month's worth of incoming spam (based on 2005 figures) in a paper by Bram Cohen, Len Sassaman, and Nick Mathewson.