You don't mention what error you are getting or what doesn't work, but you are probably correct in assuming it is a server setting.
You also don't mention what O.S. you are using, but the settings are in your php.ini:
[mail function]
SMTP=localhost ;for win32 only
sendmail_from=me@localhost.com ;for win32 only
;sendmail_path=;for unix only, may supply arguments as well (default is 'sendmail -t -i')
For a Windows system, you need to supply any valid SMTP, usually your ISP provided one should work. And of course you would put your own address in the sendmail_from.