Forwarding Mail from Outlook

I work in a small shop that uses Outlook 98 and Exchange 5.5. The Exchange server exists in-house, but our e-mail service is provided by our ISP. When staff are out of the office they want to be able to use the Outlook Out of Office Assistant to set up rules for forwarding their e-mail. This works fine when they forward to someone within our plant (a user existing on the Exchange server). However, this does not work when they try to forward mail to an outside Internet e-mail account (such as a Yahoo or Excite). Do we need to set up the Exchange server in some way to allow this type of forwarding? Is this an issue of the services/restrictions provided by our ISP? Any help would be greatly appreciated.