It's more than likely (if using POP3) that you haven't got "My outgoing server (SMTP) requires authentication" ticked in the More Settings section of your email account configuration.
You can get to the email config through Control Panel -> Mail, then going into Email Accounts, double-click the account you're having trouble with. Then, via the More Settings button you should find the Outgoing Server tab. It's all in there.
Common mistake.