To enable SMTP Authentication:

Microsoft Outlook Express

Select 'Tools' -> 'Accounts' from the menu
Highlight your account
Click on the "Servers" tab
Check the box that says "My Server Requires Authentication" for the "Outgoing Mailserver"
Click "Settings" and ensure "Same as Incoming" is selected.

Microsoft Office Outlook 2003

Select 'Tools' -> 'E-Mail Accounts' from the menu
Select "View or change existing e-mail accounts"
Highlight your account
Click the "Change" button
Click the "More Settings" button
Click on the "Outgoing Server" tab
Check the box that says "My Server Requires Authentication" for the "Outgoing Mailserver"
Ensure "Same settings as my Incoming mail server" checkbox is selected.