Trapping "valid RCPT command must precede DATA" error

Using D7 and Indy9' TIdSMTP I was always getting this error "valid RCPT
command must precede DATA".
Googling for this error I found for the Outlook Express people say the user
should check the option "my server requires authentication".
So, I included a "SMTP.Authenticate" after connecting.
The question is: how do I trap that error so I can tell my user to check the
"my server requires authentication" checkbox I've included in my
application?
Thanks
Marcio Ehrlich