For inbound email, your email system must forward any email for the SD inbound address to the SD application server on the port you choose. You may also need to configure firewalls as a previous response has said.
If you have done this and switched email debug on, you should see messages in logserver.txt
Hope this helps
PS it might be nice if gave some points to the people who have responded to you.
If you can provide the screenshots we should be able to get things going for you. if you can't provide screenshots, you could type the setings and their current values and mayme we can work from there (if its pratical)
I had the same problem when implementing SD on our site and it was all down to our mail gateway (we use exchange) not knowing where to route the mail. I had to create a smart host to redirect any mail for the SD smtp address to the SD server.
To test to see if you can connect direct, there's an app called postie (http://www.infradig.com/) which allows you to send mail form the command line via any server. Try this and send the mail direct to your SD server and see if that works. If this works then it's routing on your mail system.