Impossible task?

A lawyer client of mine has asked me to 'perform the impossible'..
He wants his incoming email (via Outlook 2007 and Outlook 2010 which is being handled through a "hosted Exchange" system) to automatically sort email from a specific sender
directly to an 'external folder' that is NOT inside of Outlook (IE: his 'My Documents' folder). But from all I know of Outlook, this is simply not possible - right? Outlook is 'not aware' of external folders, correct? ... or am I just being 'dumb' here...?
No doubt, simple 'mail rules' will sort to folders inside of his Outlook data, but certainly not to an 'external' destination - right? Or is someone aware of a 'third-party' product that might accomplish something like this?
(and why do
I get all of these 'impossible' requests...?

)