At this point you may get a warning from your Firewall that a program is trying to send email on your behalf. If this happened out of the blue, you might suspect a virus. Here, it's fine.
This example is a warning from Zone Alarm Professional. Here, you'd click "Allow".
You may also get one or more warnings from Outlook, possibly including forced delays...
These paranoid programs are simply asking you to confirm that it's you that is sending email indirectly - click "Allow" , "Yes" or "OK" as appropriate.