Hi user4301,
To use the exchange server you need to install a MAPI client on the sql server machine (an outlook account of the account that runs your sql server service). look a Books online on the topic of SQLMail. Then there is a dts task of sendmail that uses this outlook account and will send Emails.
Also there is a nice XP in http://www.sqldev.net/xp/xpsmtp.htm that sends emails in SMTP.
its a nice wrapper for the commands of SMTP.
yoav.