Since you got no answer, here is my idea and you try it:
Under header (3rd parameter of mail() I think) put this:
"Newsgroup: name_of_newsgroup"
If this doesn't work, try to find e-mail specifications to see how this is done. Anything you find will be part of mail header and can be added to header.
You can also try phpclasses.upperdesign.com or some other PHP repository.
Sorry I couldn't really help, but I've never tried this. This is just what I'd do.
Please, post here if you find a solution.
Good luck (seems like you'll need it :-))
