sendmail is a program that will basically take a command sent to it which contains an email message, all headers, body, and any attachments included and connect to a remote smtp server and deliver the mail. when you call the mail() command in php, it just pipes the request to your mail handling program. sendmail is just a really common one for unix. on windows you will have to set up an smtp server, since sendmail is unix only.
but also to answer your question, when you set up sendmail, or an smtp server, you can send mail as whoever you want.
see http://www.skybuilders.com/Users/Jesse/Docs/howToSMTP.html
for info on how to set up an smtp server on win2k server.
also, here is a great page on what exactly an email is, so that may help clear up why you need a separate program just for dealing with sending and receiving mail messages. http://www.sendmail.org/email-explained.html
