Your mail server is configured to only accept mail for users on that machine. It will not accept mail for other destinations and forward it on your behalf.
This is good. Really. Here's why. Since mail headers can be forged, someone could lie about who they were and have the message passed on by the mail server. This is how spammers cover their tracks. By only accepting mail for people on this machine, the machine can look at the physical connection -- so there's some accountability andtrust happening.
If, however, you have a specific IP address or domain, it is possible to get around this... should the administrator let you.
To sendmail.cf add the line:
FR-o /etc/sendmail.cR
And create a file called sendmail.cR that contains all the domains and IP addresses you want to allow the system to perform relaying on. List one per line:
mydomain.com
yourdomain.com
111.222.333.444