Click on Mail and go down to Preferences...

Select your account and click on Edit

You now need to check the box saying Use authentication when sending mail and fill in the SMTP User and SMTP Password.  These need to be the same as your normal username and password.  Your username (also referred to as an Account Name) is always your entire e-mail address.  Once you've done all that, click OK, close the Mail Preferences, and send some Electronic Mail!