With so little information it's impossible to say. Start by verifying that local domains in Core configuration are specified correctly (check Mercury help or the manual). If that isn't it please post the contents of your mercury.ini file.

/Rolf 

According to my server console the mail is being sent and received, but never shows up in the inbox.

I was able to send a mail from my Gmail account and read it on my server by going into this folder that temporarily stores mail as its being received.

I am not sure what I am doing wrong. Please help.