minor adjustment to what falko said... you do not want to make changes to the "sendmail.cf".... the file you want to make changes to is the "sendmail.mc". Always think of the ".mc" and "Make Changes" and you'll never forget. When you make changes to the sendmail.mc... you then need to "make" the changes active. This depends on you distro and everything... but usually 'cd'ing into '/etc/mail' and running "make" will work... or something like "make -m4 /etc/mail" or something stupid like that.
note... i hate sendmail and recommend postfix!!!!