I did touch on that subject that in http://www.sqlservercentral.com/Forums/FindPost928963.aspx

Generally authenticated users can relay and setting up the profile to use authentication is fairly straightforward as I remember.

For my profile I do not and so I had to add the IP address of my SQL server to a list of IPs allowed to relay within the exchange server settings. I didn't go into details there since it will change between vendor and version of mail server.