You can set up the outgoing mailserver under Primary Settings -> Advanced Options. You'll see where it has an option for the SMTP server. To actually authenticate as a user for sending, we don't have an interface for it, so you'd need to edit the file:

libs/phpmailer/class.phpmailer.php

About line 202, you'll see a few variables:

Code
  
var $SMTPAuth     = false;
var $Username     = '';
var $Password     = '';

You can edit that, changing the first one to true and then entering the username and password inside the single quotes for the others.