You need to configure the email server settings on your search head. This link shows you how to use Gmail, which should be good for testing purposes:
I'd also like to add I'm running this via Search. The alert ran on schedule, and it seemed to be producing different results.
index="wineventlog" EventIdentifier="4624" | sendemail to="MYEMAILADDRESS"
Never mind, I got the scheduled alert to send and took off using SSL. It worked fine. Looks like the issue is with my command, not the settings.