Missed out a few steps initially but got this working. Here is what I did.

First thing I did was add the external email address to my contact list. Then:
Tools
Rules and Alerts
New Rule
Check messages when they arrive
Next
Check, "from people or distribution list"
In Step 2 click People or distribution list
Add the external address from contact list
OK
Next
I created a folder for these emails so I
Check "move it to the specific folder"
Clicked on specified in step 2
selected the folder
OK
Next (left all exceptions unchecked)
Next
Checked Turn on this rule
Hit Finish.



Works like a charm