After you have successfully set up your email client, you have to turn on the option "My server requires authentication".
Outlook Express:
Tools > Accounts > Mail > Properties > Servers > Outgoing Mail Server > My server requires authentication.
Microsoft Outlook:
Tools > E-mail accounts >View or change existing e-mail accounts > Change > More settings >Outgoing server> My outgoing server (SMTP) requires authentication
Mozilla Thunderbird:
Tools > Account Settings > Outgoing Server (SMTP)> Edit > turn on
Use name and password
Opera:
Mail> Manage accounts > Edit > Servers > edti the option Server to Auto