In your php.ini locate the section and ensure that you have properly configured PHP to send mail. It should look something like:
; For Win32 only.
SMTP = ENTERYOUREMAILSERVERHERE
smtp_port = 25
; For Win32 only.
sendmail_from = your@emailaddress.org
; For Unix only. You may supply arguments as well (default: "sendmail -t -i").
;sendmail_path = "c:\intepub\sendmail\sendmail.exe -t"
; Force the addition of the specified parameters to be passed as extra parameters
; to the sendmail binary. These parameters will always replace the value of
; the 5th parameter to mail(), even in safe mode.
;mail.force_extra_parameters =