Member Registration Problem in My Blog

I got my Worpress blog up and running. When I clicked for member registration in my blog, it transferred me to WordPress registration screen requesting me to enter username and e-mail address, which I did (valid e-mail address and no typo errors). It says “Registration complete. Please check your e-mail”. However, the email never arrive. Tested with many valid e-mail addresses and waited for hours and days. No mail in my email box. Can anyone help? Thank you.