Windows Server 2008, can’t connect on local SMTP Server into localhost

Sounds like Exim is configured to deny incoming connections from 127.0.0.1 to me. Does tailing your "exim-main" log tell you anything? (This file is likely located in /var/log/exim/exim-main, but it doesn't have to be.)

A connect ACL in the exim.conf could be doing this, as could a TCP wrapper configuration. Have a look at /etc/hosts.allow and see if there are any "exim" lines. Likewise, have a look at your exim.conf and see if there's a acl_smtp_connect entry. If you are comfortable with it, post your exim.conf and we'll look at it.

It is possible that something else might listening or using that port as well. Have you tried telnet-ing that SMTP server? I would simply just re-configure the SMTP server to listen on another port that you are sure nothing else is using.