Mail: Sent>spinning gear won't quit

I'm getting nowhere fast trying to set up Mail not using a mobile me account.
Each different setting I try sending a piece of mail to see if it works. Then, next to the sent paper airplane thing I get a spinning gear that I cannot stop. I do not see any Outbox with the new piece of mail I am trying to send so I can't get at it to cancel. Nothing I try works to stop this. So I quit Mail. Then as soon as I reopen Mail, it goes back to the spinning gear and never sends.