Let me understand this, is this what you are trying to acheive?
OpenExchange -> Sendmail box -> Internet
Sendmail box -> OpenExchange -> Internet ?
If it is the former then you just have to set the sendmail box up as a normal box, but only allow the ip address of the OE server to relay, if the second then in sendmail.mc you will find an option called "define(`SMART_HOST',`mail.my-site.com')" whereby mail.my-site.com is where you need to put the name of the OE server. Now stop sendmail, do make -C /etc/mail and re-start sendmail and you should see the email going from the sendmail box to the OE server and out to the wide world.
If it is for incoming then that is for a whole different kettle of piscines....