Are you using .net 1.1 for you application?
System.Web.Mail was replaced by System.Net.Mail in asp.net 2.0 and above. You can still use System.Web.Mail but it has been deprecated.
Anyway I looked up your issue on the main reference site for this and it does say for you to set it up slightly differently maybe this well help:
http://www.systemwebmail.com/faq/4.2.2.aspx
However if you want to stay current then you should look over these tutorials to get a feel for the latest way to send email in .net:
http://www.systemnetmail.com/