Jira sends emails to users for all sorts of reasons (you're probably going to be asking "how do I reduce the volume of email" after a while using it).
Internally, it's quite simple - each user has an email address. Every project has a "notification scheme" which says "email person/group X for change Y". It uses the emails on the user accounts.
My best guess is that you have configured Jira without setting up an outgoing email server though, so it has nowhere to actually send those emails...
You could simply point it at your Exchange servers, but a lot of people will point it at a local SMTP server which will then forward the mails on. Either way, have a look at https://confluence.atlassian.com/display/JIRA/Configuring+JIRA's+SMTP+Mail+Server+to+Send+Notifications
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