IF your intent is to always forward certain messages, you could create a filter at Tools>Message Filters.

No. I meant message forwarding when I'm out of office.

Now I create a filter at TOOLS>Message Filters>Select "All messages">Select "Forwarding to" and type my colleague email address.

It ONLY works when my computer is turn on and internet is connected.

Enclosed you can find a screenshot how I turn on forwarding message using message filter. I use Polish version of Thunderbird.

If you want this to happen, even when computer is turned off, you will need to see if your email provider offers that service directly from the web server. Many do.

Still don't get it.

Could you please explain step-by-step what should I do?

Contact the provider of your email service and check to see if they offer the feature to set a message to send when you're not available.