Find out from your system or mail administrators the name (or IP address) of your SMTP server.
If you're going to use SQLMail, read through this Knowledge Base article, as it presents a reasonable coverage of how to setup SQLMail:
http://support.microsoft.com/default.aspx?scid=kb;EN-US;263556
If you're going to use SMTP without using SQLMail and you want to mail from inside SQL Server, do a search on support.microsoft.com for article # 312839. For whatever reason it's not currently available.
Another solution is xpsmtp:
http://sqldev.net/xp/xpsmtp.htm
K. Brian Kelley
http://www.truthsolutions.com/
Author: Start to Finish Guide to SQL Server Performance Monitoring
K. Brian Kelley
@kbriankelley