By default, even if you install the SMTP server in Windows Server 2008 it seems the service is not enabled to start by default, and it is not configured to relay requests, which is good, including those from localhost, which is less good. Fortunately, this is easy to fix, and this article explains it well.
In case that article disappears someday, the simple version is you open the Administrative Tools → Internet Information Services (IIS) 6.0 Manager. In this tool the Access tab in the properties on the virtual server allow you to enable relaying for localhost (or whatever else you need).