tell external or internal mail?

Hi all,

I would like to know how to setup a mail server on winNT server to handle internal email as well as external email. The main problem I am facing now is when one user in office trying to send a mail to another user sitting just few steps away from him, the mail will go to the internet then come back again. This has unnecessarily increased network loads and cost.
As my website is hosted by a webhosting company instead of our server, I have absolutely no idea how this could be done. I have setup few email accounts on their site which allow me as well as my colleague to have an individual email account. So, basically I just have to set the pop3 to their server and I am ready to send mail with that account. And for smtp, it's set as my ISP's one. I know that's the reason why all the mail in office tend to go out then come back again. Can anyone suggest to me how to resolve this?
I wonder if there is any program that will actually examine the email address at 'to' field and check if it belongs to the same domain. If so, send directly (without going to the internet) to the user in that domain.
If setting up a mail server is the only choice, I would like to know how that could be done and what mail server is currently the best.
Please advise me. Thanks in advance.