From EZP Knowledge Base

There has been a growing trend among ISP's lately to block traffic on port 25, which is the default smtp port. This is being done in an attempt to limit spam worldwide. On most of our servers, we have also setup port 587 to accept smtp traffic. You may wish to configure your email client to use this port instead of port 25 if you are having problems sending emails out.

You can usually set this by going to your tools menu, account settings and editing the "Outbound mail/SMTP" field.