I'm not qualified to help with Windows issues and I'm not sure if you'll find help here tailored to Plesk, but I'd recommend posting on
http://forum.plesk.com/forumdisplay.php?s=&forumid=114 as there's several helpful regulars there.
On Plesk for Linux part 1 is achieved by simply adding an entry to /var/qmail/control/smtproutes. Part 2 would be to disable mail in Plesk and then create an 'A' record for mail.domain.com pointing to the destination mailserver, this may work on PleskWin but you'll get confirmation at the URL above.