Sendmail Help

[Dan Track]

Hi

I'm trying to sendmail from a client. The domain has four mx records
for example.com, mx1 (weight 10),mx2 (weight 5),mx3 (weight 1),mx4
(weight 2).

The problem I have is that when sending mail, the client always tries
to access mx1. And since this isn't configured the connections gets
refused. Can someone please explaing to me why it doesn't try any of
the others first, given the weighting order?

This is a standard sendmail install without any configuration changes.

Thanks for your help in advance
Dan