Hello JP,
I think what they are asking you to do is to open your exchange system manager. Expand Global Settings and go to the message delivery properties. Click on connectoin filtering and click on accept and put in their ip addresses. Then expand servers in system manager, expand your server, expand protocols, expand smtp, go to the properties of your virtual server, click advanced,click edit and make sure connection filtering is checked.
This is also going under the assumption that your exchange 2003 is running sp2.so that you have those options.