mici,
I'll try to answer each question seperatly.
No you do not need to choose between sqlmail and sqlagent. sqlmail is part of the SQL Server and SQLAgent is a seperate service running on the system. SQLAgent actually has it's own mail subsystem called SQLAgentMail (You really don't need to remember this, but background is always good). You use SQLMail and SQLAgent (SQLAgentMail) at the same time, the system is designed for this.
The mail client needs to be a MAPI client, so Outlook Express won't work for you. It needs to be some version of Outlook (Outlook 97 or greater is recommended).
There is no need to leave Outlook open. SQL will start outlook as needed to send and receive mail. (This changes is you are using a POP3 and SMTP server instead of an Exchange server. Using a POP3 and SMTP server is much tricker as this was intended to be done using Exchange.)
When setting up the mail be sure to log into the server as the same account that the SQL Server is running under (and be sure that the SQL Server is really running under that account). Then you will probably need to stop and restart the SQL Service to get it to put the profile name in the drop down box.
If you want to use a separate e-mail account for SQLAgentMail, log on to Windows with the account that the SQLSERVERAGENT service uses, and create a mail profile for that account to use as well.
What they are talking about here is if you want mail from xp_sendmail and the like to come from one address, and alerts and messages sent to operators sent from another address. In order to do this you have to configure the SQL Agent as follows. Create a second account on your domain and configure the SQLSERVERAGENT service to run under that account. Then log in with that second account and setup the mail profile, stop and restart the agent and configure the agent. I have never had the desire to do this. I don't really see a benefit to doing it.
snowboardr,
As MySQL is open source I'm sure that there is a way to do it. It would probably have to be written into the code of the database engine. As MySQL doesn't support Extended Stored Procedures it can't be easily extended with this kind of support with out major changes to the database engine it self. Also as far as I know MySQL does not have an equilivent to the SQL Server Agent.
Denny
--Anything is possible. All it takes is a little research. (Me)