How to add authentication to a site's email process?

I have a website hosted at "domain1.com".
On it, I have a CreateUserWizard control which "should" send a conformation email to a user (to the address they enter which might be something like user@domain2.com).
I am currently getting an error:
Bad sequence of commands. The server response was: This mail server requires authentication when attempting to send to a non-local e-mail address. Please check your mail client settings or contact your administrator to verify that the domain or address is defined for this server. How do I add such authentication? 
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