I guess you'd better stop trusting them, then ... ;-)
Basically, Exchange 2000 doesn't have this sort of functionality built in. Closest thing Exchange 2000 has is message archival (which Microsoft also refer to as journaling) - but, if activated, that just takes a copy of all inbound and outbound messages and drops those copies them in a designated mailbox. Whilst you can always set up some Outlook rules on that mailbox to filter and manipulate those copies to a certain extent, it does not stop the originals getting through to the recipients. (Oh, and there are a number of 3rd party products which make management and control of journaling a lot easier and more flexible than is available from within Exchange/Outlook). If you are handy with scripting (and a little bit with any language that can provide a COM DLL) you can write your own code to handle SMTP Event Sinks (although to get even those working properly with outbound email theoretically requires that you have a second Exchange Server)
With Exchange 2003 you can additionally use Intelligent Message Filtering - but that is really for dealing with unsolicited commercial e-mail (UCE, more commonly known as spam) and dumping it into a UCE folder. This uses a set of proprietary Microsoft algorithms to identify potential spam; there is no option to allow you to filter on words of your choice (you just get to set the sensitivity of the algorithms)
What you report your friend to have described is precisely what (amongst other things) the products NortonES2 and Zelandakh have mentioned are designed to do.
