The “New mail” notification that Exchange uses operates over a dynamically assigned UDP port that the Outlook client selects when it first connects to the Exchange server. If you need to lock down this port to enable notification through a firewall, you need to make a client-side registry change (this setting is supported only in Outlook 2003).
To do so, create the new DWORD value HKEY_CURRENT_USERSoftwareMicrosoftOffice11.0OutlookRPCFixedUDPPort and set it to the port that the client will listen on for mail notifications.