Try opening Mail, in the menu bar up top clcik Mail, then preferences, Accounts, Account information tab, and check that the Outgoing Mail Server (SMTP) is set to the correct server.
Which would be something like this smtp.mail.yahoo.com:your email address@ your exchange
Then click te advanced tab, make sure ensble this account is checked, and Include when automatically checking for new messages.
Port 993 Use SSL is checked. Authentification: password
I have a Yahoo account and this how it is set up.
If you still have issues, contact your provider for advice.