[Exim] relay question?

I just signed up with cwihosting and they told me they are using exim.The problem I am having is, my web site is hosted with them but my email is hosted with Everyone.net (free email provider). CWI has my MX records pointed to Everyone.net and everything works except, I have a php script that allows users to register on my site. If they sign up using @mydomain.com they never get the email with the password. If they sign up using @anyother.com, they will get emailed the password. Now I assume this has something to do with relaying. Could someone please help me help my host since they don't seem to understand my problem? What could I have them check?

Mike