The most obvious explanation would be that your Internet provider blocks outgoing traffic on port 25 (to stop spam), which is getting quite common unless you have a business account. Unfortunately that would block sending to your friend's Mercury server as well, unless your friend has the same ISP and the ISP allows port 25 connections in their own net.
Another explanation could be that these mail hosts require you to have a reverse DNS entry for your IP address.
One way to find out would be to make a Telnet connection to for instance one of the aim.com IPs on port 25 (open a command prompt and enter: telnet 205.188.109.56 25), and see what reply you get.
If port 25 is blocked you could try asking your ISP to open it for you (alternatively create a reverse DNS entry if that is the problem), or you could use MercuryC instead of MercuryE for SMTP deliveries. In that case outgoing mail will be relayed through your ISPs SMTP server instead.
/Rolf