Out-of-the-box your system is set up to send emails through our 3rd party mail servers.
When you click send your emails are queued and delivered as soon as possible.
If you want to keep a record of what was sent and/or use your own email gateway choose the "custom settings" option.
Log in as an administrator and go to System Settings
Scroll down to the "Outgoing Mail Server Settings (SMTP)" and select the "Use Custom Settings" checkbox.
Then add your SMTP details. If you know these you can get them from your email provider. It normally consists of "firstname.lastname@example.org and the n a port and yout password
A list of common SMTP details can be found here
Video here :-)
N.B. When you use a custom gateway all emails will come from the SMTP email address specified e.g. email@example.com.
However, the reply-to address will be dynamic email address you've set up in the email template.