To configure SMTP AUTH in Messenger 4.x you have to select item "Preferences" in the "Edit" menu. Like on the picture below.
Then, a preferences window will apear. You should select "Mail Servers" item on the left list. And the right side will look like on the picture below:
Put your smtp server name in "Outgoing mail (SMTP) server" field, and your login name in "Outgoing mail server user name" field. Your Messanger will authenticate itself if your server supports SMTP AUTH using the provided user name.