Sonic Wall TZ210 Anti-Spam

I am very confused on how this works. We do not have an email exchange server. We have a company who hosts our websites. I thought because he hosts our websites that he also had an email server for our email.  He says he doesn't and is not responsible for any of the email or spam.  So I'm testing the Anti-Spam for 30 days and when I try to download the Junk Store I need Microsoft Exchange Server to download.  Do I need to download this on an email server for the program to work?