You may be able to leave the SMTP server field blank. If that does not work, check with your host provider to find out what the correct SMTP server address to use is.
If you are sure you are using the correct SMTP server address and the email is not coming through, the host should be able to look into the SMTP servers error logs to give an idea of why the email is not being relayed.
What mail object are you using? Mail or Pear mail for SMTP?
Some hosts will require that you pass a username and password to authenticate with the SMTP server before the email will be relayed, if this is the case with your host, you will need to use Pear Mail for SMTP as the mail object.
Your host will be able to tell you if this is the case.