You can probably do that, but I don't think it is as secure as it could be.
I have set up a firewall and will be placing my Exim box on the inside of
that in a DMZ with the Exchange server.
It's generally not a good idea to run critical services on a firewall. Plus,
by splitting them up, you won't need a top-of-the-line machine. In my
case, the firewall and the Exim server are both running on P3 450's
with 128 MB.
If you are looking for a good firewall, by the way, I have been very
happy with the Mandrake Multi-Network Firewall,
<
http://www.mandrakesoft.com/products/mnf>. It can be obtained for
free.
Chris
