WordPress relies on a program called sendmail to handle outgoing mail and assumes it is available locally on your webserver and that it’s already configured.
If you are worrying before-the-fact that you didn’t see configuration options for an SMTP server and haven’t had cause for WP to e-mail you yet, then try and comment on one of your posts to see if it works for you.
If not, or if you already know you don’t have access to sendmail, or if you’d rather just have e-mail go through an SMTP server and not deal with sendmail at all, you might try the plugin I made, wpPHPMailer. Requires a few very small core modifications though (changing four instances of “@mail” to “@phpmailer”).
