I have this same scenario with 1 client. I have used [ POP3 Connector by MAPILabs ] with great success. It also works with Blackberry Professional Server. The 50 mailbox license is about $200. You can use it free for 30 days.
About Exchange, though, you don't need a front-end/back-end setup for 40 users. And you don't need to put it in the DMZ either (just forward port 25 to the Exchange server - also ports 80/443 if you provide Outlook Web Access). There's a decent post here on TechSoup written about how to reduce spam with Exchange 2003 without buying anything (just configuring it) - let me know if you need help finding it. I forgot who wrote the guide.
Or you could implement SpamAssassin - [ found this post ] that links to a couple guides on how to implement it. I don't know if the guides are any good as I have decided to purchase anti spam (and used to use a product called ASSP prior).
There are pros and cons to both set ups. The easiest and quickest to hit the ground running would be the POP3 Connector as you've indicated. I figured $200 one time is worth the cost. And GoDaddy has multiple MX records, correct - so you don't have to worry about email senders getting an undeliverable error if your server is down for maintenance (though I fix that with mx backup from dyndns.com).
Anyway, hope MAPI Labs gives you what you're looking for. If you're interested in just hosting it all on Exchange yourself, there's a lot of Exchange experience on these forums and we can help you there, too.