It's probably a port availability (firewall) issue.
1) Look in AIM or whatever you use for an option to connect using an HTTP socket, or else contact your IT people for help (or find an upperclassman who has already figured it out... pretty much anyone who knows what a firewall is and lives in your dorm should be able to help you).
2) My first guess would be that it's an SMTP issue. If your SMTP server is set to be one from your ISP before (cable company, etc), then you should change it to your university SMTP (typically smtp.xxx.edu, with the xxx filled in for your university's domain name). If you're using an SMTP server associated with your e-mail provider and not your ISP (e.g. one from Google, Yahoo, etc), then you should just be able to switch it to login using SSL / STLS: Mail menu -> prefs -> Accounts -> Your account -> Account Information -> SMTP server settings -> fill in the appropriate blanks.