I don't think you can do this without running your own smtp server and/or something like MS Exchange. Not impossible for the home user but fairly complex and expensive and generally confined to businesses. Sure they weren't responding from a business account?
You didnt say what email account you have. If you have Microsoft Outlook then go to the Tools menu and you will see an option on there called Out of Office Assistant. you can add a message on there telling anyone that sends you an email that you are away and when you will be back. Or whatever. I think you can also do this on Outlook Express, not not sure where it is located.
Hope this helps.