Email notification not working on my internal server

I have WP 2.1.1 installed on an internal server here at work and I can’t figure out why the email notification for new user registrations, new posts, and comments isn’t working. I have everything correctly chosen in the dashboard but nothing is going out. Is there something else I need to tweak?

Here at work we are on an exchange server for email. Do I need to employ a PHPMailer or something? I’m sort of lost on this email issue. Any help would be great!

Thanks in advance!