The example code allows users to send and receive SMS messages via email using Python, Flask, SendGrid, and Heroku. To set up the service, users need to configure their domain name to work with SendGrid's Inbound Parse Webhook, purchase and configure a telephone number with Twilio, create a new application on Heroku, and deploy the code. The example code uses webhooks to integrate Twilio and SendGrid, providing the core functionality of sending and receiving SMS messages via email.