If you have access to the exchange box, you can use exchange administrator - you can monitor mail queues directly.
Run the exchange admin program (defualt - start/programs/microsoft exchange group), click the 'connections' item for the server, select Internet mail service, and choose the 'queues' tab.
This might be what you need, kind of depends what you mean by 'OK' though.
If you just want to know if your mail is going in and out, set up a hotmail account and send some mail back and forth!