Thanks for reading my post. Finally I found the solution. DBmail in SQL 2005/2008 is based on SMTP. In my case we have an Exchange account. The issued is solved by allowing the SQL Server 2008 (by IP in Exchange) in this case to be able to sent messages out of the domain. So this was not an SQL related problem but exchange. But it is good to know that we have a solution.
Thanks again
Vinny