These days most properly-configured SMTP servers will not relay mail (accept mail from one machine and send it to another smtp server somewhere else) unless the initial connection is authenticated. Sometimes the SMTP server will allow relaying but only from a certain range of addresses. These measures are necessary to prevent spam from being sent through the SMTP server. If you need to enter a username and password to send mail (even if they're saved in your mail program so you don't have to enter them every time), then your mail server requires authentication to prevent anyone without a valid account on the SMTP server from using it as a relay.
