Both the incoming and outgoing servers should be set to mail.btconnect.com
A common error is to only enter the first part of an email address as the user name, rather than the FULL address.
Probably even more common is failing to turn on 'authentication' for outgoing mail. I'm not really familiar with Windows Mail but with Outlook Express the option to turn on authentication doesn't appear during the set up process. If it's the same with Windows Mail, you'll need to create the mail account first. Then go to Tools>Accounts. Click on the account name to highlight it. Select 'Properties' and then 'Servers'. Click to place a tick alongside 'My server requires authentication'. Click 'Apply' and 'OK'
Chris