To configure SMTP AUTH in Messenger 4.0x you have to select item "Preferences" in the "Edit" menu. Like on the picture below.
Then, a preferences window will appear. You should select "Mail Server" item on the left list. And the right side will look like on the picture below:
In the "Outgoing mail (SMTP) server" field put your_login_name@your_smtp_server_name. Accept it with "OK" and now your Software will authenticate itself before sending out e-mails.