MX Records are DNS entries that need to be adjusted to point to your mail server.
You should do a lookup on your domain to find out who has the authority to modify these records. For the US it is http://rs.internic.net and use the whois function. This information will direct you to the person who has the authority to modify records for your domain name. Your authorized person will submit a request to modify your DNS records to the ISP hosting your domain.
MX records are not the only entry you need to modify. You will also probably need to modify or enter an "A" (address) record for the server itself.
domainname.com MX Preference = 5, Mail Exchanger = servername.domainname.com
domainname.com internet address = 192.168.200.1
substitute your domain name where applicable and substitue your servers IP address where applicable.
Incidentally, if you are looking for a good resource on using the MS Exchange Internet Mail Connector, you should procure the book by Spyros Sakellariadis. It's great.