Where's your mail server?
If you don't have an SMTP server running on localhost that it can use as default*, then you're going to have to specify a mail server to use, and a method for passing emails to it.
*I'm not actually sure about this. My understanding was that you should ALWAYS specify a mailserver with CDO. That's the way I've always done it, anyhow.
Set oMail =Server.CreateObject("CDO.Message")
oMail.HTMLBody = sMailBody
oMail.Configuration.Fields.Item("http://schemas.microsoft.com/cdo/configuration/sendusing") = 2 ' send using SMTP port. 1 = send using local pickup directory.
oMail.Configuration.Fields.Item("http://schemas.microsoft.com/cdo/configuration/smtpserver") = "mail.mydomain.com"
oMail.Configuration.Fields.Item ("http://schemas.microsoft.com/cdo/configuration/smtpserverport") =25
Either way, see this guide to sending mail with CDO. As you can see, depending on how your mail server is set up regarding authentication etc, there's actually quite a few fields you need to set in addition to the usual To, From, Subject etc.