Server :: Centos Virtual Server Mail Setup ?

I just recently purchased a vs from a company and i am trying to set up a web site on it with kloxo and set up the mail for it upon setting up the mail settings it says:

"It is very essential that you set the my name to a properly resolvable hostname, since otherwise, many public mailservers like hotmail will reject mails from your server"

Now this is my first time setting up a vs before i have set up linux vm's to get email access but that was about a year ago.