There is a fine manual that is installed with mercury and contains (mostly) all you need to know about configuring Mercury.

If you then have some specific questions about anything in particular, come back and ask.

I'm new to this whole EMAIL server stuff, Took me nearly a month to get my XAMPP 1.7.2 up and running right, (router, opening ports on both router and firewall), Installed DynDNS client and have a host name of tdcj.homeip.net ... Current IP 76.186.36.90 I went ahead and downloaded the newer version of Mercury. 

What do I need to know to setup my SMTP? With the older version it showed my SMTP server online, but since I upgraded to the newer version it now showing offline.

Is there a setup I need to do?

A good place to start is here http://wiki.pmail.com/index.php?title=Mercury:Contents

I would need alot more help in the configuring part of this.  It only provided about 3 steps which I already know and then it said To be continued...

 Near the top it stated: This page is a work in progress page, not an article, and may be incomplete and/or unreliable.