SPF records are a way to prevent spammers from identifying as your domain, as well as a way to prevent blacklisting of your domain's outgoing mail.
Creating an SPF record in your DNS can be done by using the wizard accessible through the following link:
Using the recommended settings, and placing relay.us.powerdnn.com into the "domains that deliver or relay mail" section will provide you with a record that looks much like this:
DOMAIN.COM. IN TXT "v=spf1 mx a include:relay.us.powerdnn.com ~all"
This is a basic SPF record with softFail, meaning any locations that send mail that do not match these locations will be marked as "possible spam" and not be bounced or blocked. If you are confident in the settings you are using, you can use the hardFail setting to make the record strict.
This information can be pasted into the DNS settings in the plesk control panel as follows: