When I start sending the mail I receive the message “connection to the mail server can not be established”

Please check whether an antivirus software or a personal firewall block the access to port 25. Most anti-virus programs do this today by default, since many viruses today are doing nothing else than to send emails. Most support requests refer to products from Symantec (Norton Anti-Virus) and McAfee, both of which by default port 25 blocking.