Why do emails sent from my scripts say the server name and not the domain name?

This happens when a script is not coded properly. You can code the 'from_name' and 'from_email' into your script to display the proper domain name or email address. You can find a PHP mail tutorial at this URL: http://www.phpfreaks.com/tutorials/130/0.php
http://www.php.net/manual/en/ref.mail.php

If you're referring to the email header records, then that is normal and correct behavior of an SMTP server. You cannot hide the hostname in header records.