I have exchange 2003 at home for my email. It was originally just set up using popcon that collected mail from my isp account which had been forwarded from my domain (hosted at reg-123). I wanted it to be direct to my server instead of having popcon involved (popcon keeps letting in spam even though i've set rules) so i can use the IMF. I can't get it to work though. At reg-123 i have deleted the forward rules for the e-mail and pointed the MX records directly at my external ip address. Everytime i send an e-mail i get an instant bounce back saying "Returned mail: This domain is not hosted here (from mx1.123-reg.co.uk)".
I don't know if it's relevent or not but i have a subdomain www.mail.domain.co.uk
which is pointed at the external address for webmail. This works fine. Incidently so does my outgoing mail.