In many cases this could just be localhost. In the rest of the cases there may be no MTA (Mail Transfer Agent) running on the machine, in which case you should point it to whatever server the MTA is running on. Ask your provider if you don't know, or set up an MTA on the box if you can (just be sure to follow directions carefully... don't want an open relay).
Keep in mind I dont know much about this, but I think
I know what you are talking, I am using the TMPOP3
server, and I think is ok since after intallation, Outlook
pickup a welcome mail, I guess they did this to show you
that everything is working ok.