Message ID is assigned by the client before it sends an email.
You can either rely on Mail.dll generating one or assign one yourself:
MailBuilder builder = new MailBuilder();
builder.From.Add(new MailBox("from@example.com"));
builder.To.Add(new MailBox("to@example.com"));
builder.Html = "Body";
builder.Subject = "Subject";
//You can set Message ID here:
//builder.MessageID = Guid.NewGuid() + "@example.com";
IMail mail = builder.Create();
string messageId = mail.MessageID;
using (Smtp smtp = new Smtp())
{
smtp.Connect("smtp.server.com");
smtp.UseBestLogin("user", "password");
smtp.SendMessage(mail);
smtp.Close();
}