I want to get an email every time a pc under the domain detects a threat.
No. You really don't want this. That's probably far more email than you realize. You really want to aggregate this or filter it.
What you are looking for is under Menu -> Configuration -> Server Settings -> Email Server. You will need to enter the correct SMTP address AND make sure you aren't blocking this outbound from the ePO server (unlikely but possible) or inbound on the SMTP server (pretty likely). The most likely problem is that your Exchange server's SMTP isn't trusting the ePO server as a source. And although it has an option for "Do not authenticate" that's the same as an open relay... which is absurdly bad.