If you entered your POP settings correctly and your test message failed, your domain may be pending. Pending means that the domain associated with your email address is not yet active across the Internet. This is normal for all new domains. As soon as the domain is active (which can take up to 72 hours), you can begin sending and receiving mail. Check with your account administrator to make sure the domain is active.
If the domain isn't pending, and your test message still fails, you may be experiencing a POP error.