When it comes to anti-spam filters there certainly is no shortage of options. However Microsoft Exchange users require a good level of integration. If spam is not blocked immediately, users will want spam to be deposited to their Outlook Junk Folder. If Safe Senders are configured at Outlook, they will also want these to be applied. The requirement for Integration may thus shorten the list of possible solutions.
However dropping foreign spam filters is not always a desirable option. For one, many organizations run a non-Windows platform at the DMZ i.e. the place where email hygiene is run. These filters often lack Exchange integration. Others may be employing a Firewall Appliance, or filtering spam at some service provider on the internet.
No matter why you are running a foreign spam filter, this video shows how achieving Exchange Integration is easy. It shows how to do this for any of Exchange 2003, 2007 and 2010.