"E-mail me when a page on my watchlist is changed" by default

Try if a password sending works. If this does not work, you have to take care of the emailing options of your server (whether PHP mailing service or another email programme). On one of our company's wikis we had to add $wgSMTP, because PHP mails are blocked by firewall (at least the majority of them ...), and there had to be a link to our Lotus Notes mail server.