Most of my experience is as an application developer and while I have a decent understanding of Exchange and how to work with it, I haven't ever had to set it up or configure it.
If I request our admin auto-delete all emails sent to a certain address if they don't exist in a query residing on SQL server. Before I make that request, I'd like to know if this is a non-trivial request?
What version of exchange is running? If your admin can use powershell cmdlets in Exchange 2007 it is relatively non-trivial to do one pass of this, although I'm not 100% sure if your list from SQL can be checked every time an email is received.
If your list is constantly being updated in SQL there would be much more to it though... regardless though you will want to check out these...
IMF for EX2003 - http://www.msexchange.org/tutorials/microsoft-exchange-intelligent-message-filter.html
Anti-Spam hub transport features for EX2007 - http://msexchangeteam.com/archive/2006/11/17/431555.aspx