When using Exim behind a NATed connection, such as a consumer grade ADSL or Cable line, where the Exim machine's IP address is a local address which isn't routable and the router or firewall uses port forwarding to send the SMTP and POP3/IMAP ports to the correct machine, you may well get mailing loops where Exim tries to forward a mail to the MX record specified in DNS, which is in fact itself, causing mail loops.
To solve this you need to tell Exim that it's world visible IP address is different to it's own real address. Insert the following beneath the
MY_IP = line:
extra_local_interfaces = <routers external IP>
Where <routers external IP> is the Internet visible IP address of your router or firewall, on which everybody else will address your Exim machine.