Try:
.Item(cdoSendUsingMethod) = cdoSendUsingPickup
Edit 2015/09/14: Looks like the link I posted further info the domain has been lost, check the wayback archive: https://web.archive.org/web/20150518232254/http://classicasp.aspfaq.com/email/why-does-cdo-message-give-me-8004020f-errors.html
Also check out http://classicasp.aspfaq.com/email/why-does-cdo-message-give-me-8004020f-errors.html (NO LONGER WORKING)