This is most likely due to one of two things:
A) Your email program has been configured with your cPanel username and password
B) You are not authentication before trying to send email.
C) Your ISP Blocks port 25
If you fall into category A above:
To correct this, you will need to reconfigure your mail program to use the FULL email address (sometimes called "username" or "account" or 'login" in some email programs), and email address password (password) in your email properties of your favorite email program. The cPanel username and password should be used for cPanel and FTP connections only.
Please see this thread regarding the proper outlook express configuration settings and flash tutorials on other email programs.
If you fall into category B above:
You will need to authenticate before sending mail. You can POP the server before you try to use SMTP or the easiest way to do this is check the box in your mail program that is similar to "My server requires authentication." (Not the box that says use Secure password Authentication, unless you know what you are doing, do not use SPA)
Please see this thread regarding the proper outlook express configuration settings and flash tutorials on other email programs.
If you are sure A and B above are not your problem:
Try changing your outbound email server port from the default 25, to 26. Many ISP block port 25 and using 26 should solve this issue.