Usually they have permissions preventing that. What are you specifying in the smtp server field? Try leaving it blank and it will use the default smtp server for that php installation.
You can also add debug code to see if there is an error or if the code is functioning properly and the problem is with the smtp server.
In the file mail_PHP.php, add code below the line:
$mailObj = mail($mailTo,$mailSubject,$mailContent,$mailHeader);
so it becomes:
$mailObj = mail($mailTo,$mailSubject,$mailContent,$mailHeader);
var_dump($mailObj);
die();
This will tell you whether the php script thinks the email was sent properly. From there it may be a problem with the smtp server (although it returned no errors) or more likely a spam filter.