I did the same experience but now it is solved. Here's the way (from
Admin Help):

Specify the SMTP Server
SharePoint Portal server  uses the Simple Mail Transfer Protocol
(SMTP) server to send subscription notifications and approval
notifications.

A subscription notification  e-mail advises a user when changes are
made to a document, a folder, a category, or search results to which
the user has subscribed. For more information about subscriptions,
see "Managing the Workspace" in User's Help. If you have the client
components installed, you can access User's Help from the Help menu
in Microsoft Windows Explorer when browsing the workspace.

An approval notification e-mail  alerts an approver when a document  is
awaiting approval. The e-mail contains instructions for approval or
rejection and a link to the document.
You must specify the name of the SMTP server to use for e-mail
delivery before a SharePoint Portal Server computer can begin
delivering notifications. All workspaces on a single server use the
same SMTP server. The SharePoint Portal Server computer is the
default SMTP server. When you specify the SMTP server, SharePoint
Portal Server Administration verifies that it exists. If it does not
exist, you are prompted to enter a valid server name.

To specify the SMTP server
- In the console tree, select the server for which you want to
specify the SMTP server.
- On the Action menu, click Properties.
You can also right-click the server name, and then click Properties
on the shortcut menu.
- Click the General tab.
- In SMTP server, type the name of the SMTP server.
- Click Apply.