OK you need to go into the mail settings.
Tools > mail accounts
Highlight the one you want to use and click properties.
You are looking for an advanced/more settings button
This will bring up more information about your mail account.
Check to make sure you incoming and outgoing accounts are set correctly.
Incoming is POP and outgoing is SMTP.
There also should be a connection tab.
On here you can specify wether to dial a connection or use your LAN connection.
Make sure this is set to LAN.
Then OK everything and restart your mail app.
Everything should be fine now.
More information and screen shots can be found
HERE