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MX are the records of your domain name (example.com) that tells the world where to send e-mail to. They do nothing with mail validation at all.
SPF is the first level protection records against spam that tell any receiver of mail from your domain (example.com) whether the sending server has the right to send mail on behalf of the domain.
DKIM actually adds content to the mails sent that identifies the sender as being a valid representative of the domain.
I love the article on mandrill about spf and dkim.
So, if your ISP can't help you with these, that might be the case if they do not manage your domain name. The company you have registered your domain name with should be able to help you out.
Please understand, DNS records are very powerful and in return truly complex. Do not play with them as if they are your playstation, because if you make a mistake your domain and most possibly mail might not work for over 24 hours.
