How can someone has set up an email address using my blueyonder email account.

Its probably a fishing e-mail to try and steel your details.  Check the senders e-mail address usually they don't match the company. Don't click on any of the links or download pictures on the e-mail. 

I meant to say Phishing not fishing.

Sounds dodgy that to me .. seems someone wants to get you hook line and sinker .. I agree as above .. sounds like lies .. just saying...😉