Yes, Thunderbird allows you to log on to your SMTP server with ID and password - I do that with my laptop, which connects back to my home ISP to send mail, regardless of where I am.
The difference is that Thunderbird doesn't have a box to enter the SMTP (or the POP) password. It asks you for the password the first time it needs it, and then asks if it should remember it. If you've stored a wrong password, it will tell you when the remote server rejects it, but you can always go into Tools - Options - Privacy - Passwords and remove any wrong ones.
If you haven't given it a password, and it hasn't asked you for one, then it's not getting as far as connecting to the SMTP server. That makes me think Firewall...
Your Outlook password screens look pretty conventional to me - the top one is the server addresses, the bottom one is the extra screen for SMTP authentication. The same process should work fine with Thunderbird.
I can't see it being blocked ports - Outlook and Thunderbird use the same ports for sending and receiving mail (unless you've got an unusual setup). Do you use ZoneAlarm or any other software firewall? If so, has it been told to allow Thunderbird access to the web?