I have an exchange server that is downloading email using POP for a my
domain. Problem is that domain is also being used by another site and
no one at my site can send to the other site. Exchange recognises the
domain and then gives an error when it can't find the email address. I
need it to route the email externally if it doesn't recognise the
address..

set up a bridge head

This is why Microsoft recommend setting your internal domain to
something like mycompany.local rather than your web address.  Whilst
it is possible to do this, if you aren't really careful and have a
good understanding of DNS and other networking, it has the potential
to cause all sorts of problems for you later on.  One of the most
common problems is that your local server which uses DNS for Active
Directory now believes it is authoritative for your external domain -
this results inyou being unable to view your pubic website from inside
your lcoal domain.