I assume you mean Mail.app (I.e. the default mail application). You need to setup a mail account to use. What sort of mail account are you using? .Mac?
In Mail open up the preferences, go to Accounts and the Account Information. This will show you the account you are using. For sending mail it's the bottom of the pane (Outgoing mail server). If you are using .Mac it should just work. Otherwise you'll need to enter the details your provider gave you (click on Server Details).
If you need more help post some more information about your exact setup.