I'm trying to write an SMTP wrapper and I'm connecting to the mail server with winsock and connect successfully but how do I send the commands?

send(lhSocket,"HELO\\r",strlen("HELO\\r"),0);

Does it need to be \n to end the command?

You're escaping the return with \\r, return (\r) and newline (\n) are a bit different you might want to use both like this

send(lhSocket,"HELO\r\n",strlen("HELO\r\n"),0);
Also note that strlen() returns when it hits a NULL character, it might be a better idea to use sizeof() in this case.