it sounds like your sendmail is missconfigured then,
if you edit your sendmail config and edit your domain line to be the one you want.
most people recommend using the m4 configuration editing tool
basicaly because the sendmail configuration file can look a bit daunting to some and m4 is there to help
the m4 macro is DOMAIN('domain.name.com')
have a look inside your sendmail configuration file by all means, but becareful if you feel the need to chage anything
when you have edited the config file you will need to restart the sendmail deamon
if you are going to use sendmail i would recommend reading around on the web of do like i did and buy a book ( but make sure you use the book
my book is the third edition sendmail from o'reilly ( costales and allman )
i took one look at it and did not realise how complicated it was!