Please tell us what you have for settings in Admin panel -> Settings -> Alerts & Notices.
Also what are your settings in your php.ini under
It should probably look something like this:
; For Win32 only.
; http://php.net/smtp
SMTP = mailServerName
; http://php.net/smtp-port
smtp_port = 25
; For Win32 only.
; http://php.net/sendmail-from
sendmail_from = account@domain.ext