You give us very little to work on, but here's a list of things for you to check:
- did you open port 25 on your router/firewall?
- did you redirect port 25 from your router/firewall to the Mercury server?
- did you make sure there is no local firewall on the Mercury server blocking port 25?
- do you have a static IP address?
- do you have correct MX records for your domain?
/Rolf