Simply put, an SMTP server is a machine, or collection of machines, whose primary purpose is to send, receive, and/or relay messages between email senders and receivers. An SMTP server will have an address, or addresses, that can be set by the mail client or application that you are using, generally formatted as smtp.serveraddress.com.
Most server names are written in the form "smtp.domain.com" or "mail.domain.com": for instance, a Gmail account will refer to smtp.gmail.com. But that's not a unified rule, so you should pay attention and get the right SMTP parameters.
Remember anyway that only a professional SMTP server will guarantee that all your emails will be correctly delivered. Generally speaking, free outgoing servers like the ones associated to Gmail or Hotmail are not designed for mass email sending.
So if you're putting up a newseltter campaign or simply don't want to get any of your messages lost, you should switch to a dedicated outgoing server.