Preventing Open Relay with E2K

I have been completely unsuccessful in locking down my E2K server as an open relay. Please help. You will get all the points I have to offer if I can verify that your solution is working.

My current setup is listed below.
NOTE: If I disable “Relay for all except”, I am UNABLE to receive mail destined for my domain! It’s as if E2K is treating my incoming mail as mail to be relayed!

Details:
Exchange Server 2000
Authentication: Anon/Basic and Integrated
Connection Control: I have blocked a few machines.
Relay: All Except the list below (no entries).

SMTP connector:
Address Space: *
UNCHECKED “Allow Messages to be relayed to these domains”

Everything else is default.

Please help! How can I disable relaying mail through my server if it is not destined for my domain?!!!