Managed to fix it by going to IIS > Default SMTP Virtual Server > Property > Access > Relay
Even though I still not able to receive the mail I sent out yet, but there is no more error message when I use VB.NET code (System.Net.Mail.MailMessage) to send it.
When I went to C:InetpubmailrootQueue, I saw that the mail was there. My next goal is to make sure I receive this email. I think the next I need to look into SMTP thingy at my code.