Reply to internet receipients has to be turned on your Exchange smtp
transport server. Not sure how this is done on 2k, but on 5.5, it is set in
the IMS connector page, under Advanced options.
Autoreply to the Internet is disabled by default in Exchange. It really
should not be changed, as enabling it can lead to mail "looping" back and
forth between servers, which is a very bad thing indeed.