You do not indicate what version of Exchange or Windows you are using.
This answer should be valid for Exchange 2003 on Windows Server 2003:
Forwarding is configured in Active Directory Users and Computers.
You will need to create an AD contact for the external email address.
When this is done, you can forward email arriving at one specific user to the external address by configuring Delivery Options under Exchange General in the user object properties: In the area Forwarding Address, select Forward To and click Modify. Now you can select the contact you just created as the Forward To object.
You may choose if a copy should be left at the original address or not.