I have two servers. One (linux) will send mail fine using the script below. The second (windows server 2008) sends nothing.
Check your PHP.ini You can also override these with the ini_set function at the script level (I think).
[mail function]
; For Win32 only.
SMTP = xxx.xxx.xxx.xxx
smtp_port = xx
mail() works very different on linux and windows.
On windows your best bet is to set the SMTP information so PHP can hand off the mail to another server which will take care of final delivery.
http://ca2.php.net/manual/en/mail.configuration.php#ini.smtp
That done (and your webserver restarted to allow the change to take affect) if you're still unable to send mail check the logs for both PHP and the specified MTA to see where things are breaking down.