There are three things to check immediately. 

1. Obtain valid SMTP Information

First, ensure that you have a mail server to use, and also get the correct information to connect to it. 

2. Ensure DNN Is Set-Up Correctly

Next, login to DNN using a Host account and go to the Host Settings page in the Host menu.  First change the e-mail address in the first section to a valid e-mail address that the SMTP server will recognize and relay for.  Now, partway down there is a section for SMTP information.  Enter you SMTP connection information there.  DO NOT click the text e-mail link there.  Click the update link at the bottom of the page.  Now, go back to the SMTP section and click the link to test the e-mail. 

3. Pass the Buck  :)

If the e-mail is still not received at this point, talk to your Administrator or web host to find out if the mail server is receiving the e-mail requests, and what has happened to them. 

I am glad to help!  :)