|If your web server is installed on windows, then you may need to download and install a mail daemon. Pegasus offers a free one. I've used an older version with apache 2 and php 5.2 on a 2K machine and it worked fine under the localhost.|
If you're running a flavor of linux, then the mail daemon may not be installed; I'm not sure about other operating systems.
I believe windows also has a smtp server that can be installed via the control panel. Choose add/remove programs -> add/remove windows components -> internet information service -> "select details"
However, I haven't used the service, so I don't have any idea on how it's setup.