If you wish to use software such as Outlook
Express then you will send outgoing email using the server
belonging to the company who provide you with access to the
internet (e.g. Freeserve, BT, AOL, FreeUK, ConnectFree etc).
By setting the 'return address' of your email to email@example.com
(and, if you are allowed) even the 'from' field to firstname.lastname@example.org,
your email will appear as if it comes directly from your
domain. See these
Why is this done this way? The simple
answer is the problem of SPAM (unwanted email). Most of the
larger ISPs (BT, AOL etc) block you from sending email except
through their servers. In this way they can swiftly identify
and 'punish' customers who send SPAM.