FYI, mail headers need to end with "\r\n", right now you only have one of them ending in "\n".
But the main problem looks like your server isn't set-up correctly. Edit the PHP.ini file to point to an SMTP server (Windows) or to the location of sendmail (*nix) and it should work fine.
If you can't edit the PHP.ini file yourself, try using [MAN]ini_set()[/MAN].