Generally there are 2 reasons why this might happen.

1. Authentication Failure - You need to authenticate before you can relay mail. This means you will need to use either Authentication (if your mail client supports it) or POP before SMTP (where you simply check your mail before sending). For guidelines on configuring your mail client to use SMTP-Auth, you may wish to refer to the following tutorial:
   
   Quick Guide for Setting Up SMTP-Auth.
2. Traffic Block on Mail Port - Your ISP (Internet Service Provider) may be blocking the port to our mail servers. Some ISPs do this to force you into using their mail servers when sending email, as an attempt to prevent spam. Some ISPs that have been known to block port 25 are AOL, MindSpring, Earthlink, and AT&T.