If you're running a recent release of sendmail, that directory needs to exist. Maybe you can modify it not to, but it's probably easier to create the directory, make sure the ownership is correct and see if that makes the problem go away. On my system it is set up as:
Code:
drwxrwx--- 2 smmsp smmsp 4096 2006-03-15 04:46 /var/spool/clientmqueue