This problem is often modem related. The first step is to;
check your Outlook Express settings, making sure that the POP3 and SMTP servers are as in the screenshots, and that your full user name and password are correct. (Tip. Watch out for SMTP spelt as STMP, and that commas are not there in place of full points).
If this is OK, read the Modem and connections troubleshooting guide
If you're still having problems, it could be that Outlook Express is itself corrupt. Microsoft's instructions on how to delete it and reinstall it, along with making a backup of your address books etc, are at for Windows 95, 98, and ME and for for Windows 2000.
Other suggestions by Microsoft are available HERE
If this has still not resolved your problem Symantec Security Systems have detailed information on modifying your system settings available here
If you have Norton Internet Security or Norton Personal Firewall and you will need to modify their configuration as advised by Norton and available here
Ensure you do not have email protection setup on your system.