Checking if the MX record for your domain is set correctly 
1.  Open command prompt. Type nslookup 
2.  Now type  set type=mx  
3.  Enter your mail domain. 
4.  The MX record should return a single IP. This IP must be the IP of 
the machine on which GFI MailSecurity is installed! 
Checking the MX record of your domain 
Step 7: Test your new mail relay server! 
Before  you  proceed  to  install  GFI  MailSecurity,  verify  that  your  new 
mail relay server is working correctly. 
1.  Test  IIS  5  SMTP  inbound  connection  of  your  mail  relay  server  by 
sending a mail from an external account to an internal user (you can 
use  hotmail,  if  you  don't  have  an  external  account  available).    Verify 
that the mail client received the email. 
2. Test IIS 5 SMTP outbound connection of your mail relay server by 
sending a mail to an external account from a mail client. Verify that the 
external user received the email.  
Note:  Instead  of  using  an  email  client,  you  can  use  Telnet  and 
manually  send  an  email.  This  will  give  you  more  troubleshooting 
information.  Here  is  the  link  to  the  Microsoft  KB  article  how  to  do  it:
Step 8: Running GFI MailSecurity set up 
Step  1:
  Run  GFI  MailSecurity  set up  by  double clicking  the  file 
on  the  SMTP  relay  machine.  GFI  MailSecurity  will 
also  prompt  you  to  check  for  a  later  GFI  MailSecurity  version.  We 
recommend you do this and always use the latest version.
Step 2:
 Confirm the License agreement. 
Step  3:
  Enter  your  Name,  company,  and  License  key.  If  you  are 
evaluating the product, leave the default  `
. Click 
Step  4:
  Set up  will  now  ask  you  to  specify  the  administrator  email 
address. Enter the e mail address of the Administrator.  

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