How to Setup SMTP Authentication in Windows Mail on Vista
Open Windows Mail & Newsgroups
Click on Tools at the top of the window.
Then click on Accounts, then Properties from the drop down window.
A window similar to the one below should open.

Next, click on the Servers tab.
Check the "My server requires authentication box"
Click the Settings button.
A window similar to the one below should open.

Check the button labeled "Use same settings as my incoming mail server".
Click OK to close this window.
Done!