PMG has the advantage, that it has a great GUI and it's easy to manage. However, you need to know about your infrastructure and on how to setup such infrastructure to handle your mails well, otherwise you would always run in trouble. Also it's unknown here, what systems you have as for incoming you need to be able to access your DNS records of your domain and setup an A record for PMG and add it to your zone file and point your MX records to the PMG record. On how to do exactly, it's required to know your domain provider and also to know, how it's working there, as some users know here, some they don't. Same for sending mails, if you're using postfix setting up a relay host is completely different if you're using sendmail, exim, Microsoft Exchange or if you use any kind of admin panel like Plesk, cPanel etc. you won't usually use the shell to adjust services and aren't able to do so via the GUI or you have a webhosting package, where you aren't either able to adjust domains dns zone file nor adjust the mail servers setting as e.g. I use a hosted exchange where I can't direct outgoing mails through PMG, so I can't e.g. test or do DKIM, as they don't provide and although I could adjust PMG to do so, I can't send the mails through PMG. So more details are required and maybe someone can help or you're required to contact your server admin as he should also be able to adjust your settings to use PMG.
