Thanks for your reply, I want to play with it(like adding users,options,menus etc...) 

The main goal of mine is to build a site based on elgg, the site will be at other server(not at localhost).

where i need to config the mail client in xampp or in elgg?

mail client is configured on the server itself - so in your case in xampp.

Google it, there's lots of how-to's, though just a heads up - it's quite complicated and even when you succeed it might not work depending on how draconian your ISP is about allowing unauthorized mail servers.

Like matt said, its not worth to configure the mail client in local host. You can search the plugin repo and there are plugins here to bypass the mail validation etc..