Chris,
If you are using Exchange as the mail server then yes... You need to configure exchange to send Out of Office Replys to external clients.
This can be done by doing the following...
1. Open the Exchange System Manger
2. Expand 'Global Settings'
3. Highlight the 'Internet Message Formats'
4. In the pane to the right, Right Click on the SMTP Domain (this can be named anything) and Click Properties.
5. Under the Advanded tab put a check in the "Allow out of office responses.
Hope that helps,
Patrick