OK, more details: on Unix/Linux webservers, you usually have sendmail, which the server admin has to configure (there are some other programs as well who do the similar thing: sending emails). If you don't edit the SMTP_host setting in mailer.inc.php, coppermine will try to send emails directly over the php-function "mail()" that will use sendmail (or it's surrogate). If your webserver admin hasn't configured sendmail (or even has diabled it), or if you're on a Windows Webserver, you don't have sendmail - you will have to use SMTP instead. If the server is yours to administer, you'll have to set up smtp properly (the smtp that comes with Microsoft IIS sucks) in this case. If you're webhosted, your webserver admin probably has set up smtp for you. Either way, when you want to use smtp instead of sendmail, you'll have to specify and SMTP_host in mailer.inc.php, and (depending on your smtp setup) maybe a username and password as well.
Now here's the tricky bit: coppermine (or any other php application) can't determine what has been setup as your mailing system on your server, and how it has been set up - it is you (the webmaster) who has to find out about this. If the server is yours to administer, you will have to set up smtp. If you're webhosted, you'll have to ask your webhost. If you can't have smtp on your server at all, you will have to find another server that let's you relay mail (enter this server's hostname as SMTP_hostname). Again, this task is up to you.
I just want to point out that we can't help you any further on this board - you will have to solve this issue together with your webhost (or your ISP). As an example: if you buy a car from Toyota and a stereo from Kenwood, and you put the stereo into the car yourself, you can't go to Toyota and complain about the bad taste of music the stereo plays, they simply won't be able to help you.
GauGau