Moved from Home to Business > Email Gateway for better attention.
By the way, I changed your user name to remove the email address for your own privacy and safety. Your user name is now igor.rincon so you'll have to log out and back in again to respond here.
What exactly are you trying to get them to connect to? Is this to send a SMTP message to the MEG before going to Exchange, or are you looking for the Outlook <--> Exchange communication to be filtered?
The only mail protocols that the MEG can filter are SMTP and POP3.
This is probably possible. I checked, and Outlook will send the message with SMTP, which the MEG can filter, but it appears that it may also use SMTPS, which the MEG cannot. Your best bet may be a transparent mode to enable the client to think it is talking directly to Exchange.
You might have a better time trying to make Exchange route the mail differently. I don't know much about how this could be done, but my thought was to set a rule to route messages that come from clients through Exchange, have Exchange to MEG, MEG back to Exchange, then have Exchange decide where to send it next. Of course Outbound messages would be sent to the MEG and then straight out to the world.