If you give your mail, i'll send you a couple of classes VERY useful for any mailing you want to do. I use them under Win32 (Win2K and ME), and they work.
And, yes, i think that, if you want to do it by yourself, you have to open a socket. Anyway... what does it read in your php.ini file under [mail function]?
On Win32 you have to put a smtp server there for php to be able to send mail. Otherwise it won't work at all.
Hope it helps
fLIPIS