I'm guessing that you've not configured Window Mail to work with your o2 account. Here's how to do it:
Go to Start > All Programs > Windows Mail
Click Tools > Accounts
Click Add > Mail > Next
Then follow the instructions which appear.
When you're asked for your incoming (POP3) server, enter mail.o2.co.uk
When you're asked for your outgoing (SMTP) server, enter smtp.o2.co.uk
Your username should be entered as your FULL o2 email address (not just the bit before the @ sign).
Your password should be your normal o2 password.
Put a tick alongside 'My server requires authentication'. (You might encounter that bit as a question, asking if authentication is required. If so, select 'Yes'). Click on 'Settings' and enter your FULL email address as your username and your usual password.
Chris