No need to create any client side rules.
NDR is by default enabled on all MS Exchange servers.
If I try to explain you without ant referencing images, it will be difficult for you to understand.
I suggest you download the “Exchange Server 2003 Administration Guide” from the Microsoft website: http://www.microsoft.com/downloads/details.aspx?familyid=98E45481-1458-4809-97D6-50D8AEEBD8A1&displaylang=en
Open the File. Its a 298 page word file. Go to Page No.35/298. Refer to Figure 2.6 Advanced tab.
That will Explain you how to set up non-delivery receipts.
Pls do revert back if you need further help.