Your ISP may be blocking port 25 which would require you to use their outgoing mail server to send on. To test please do the following:
1) Open a command/DOS prompt while connected to the internet.
2) Type in the following command and press ENTER:
telnet mail.the-domain-name.com 25 **REPLACE: the-domain-name.com with your actual domain**
If the above command errors out then your ISP is blocking port 25 and you must use their server to send.