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Spammers try to distribute their spam messages to as large an audience as possible, and they try to cover their tracks by any means. One of their methods is relaying mail through third party servers to disguise the origin of the messages. The third party server hardly ever has anything to do with the message content.
Your server may end up on a DNS Blacklist through no direct fault of your system. This can happen if you have a relay open (you allow anyone relaying mail off your server) and a spammer has used your server for relaying spam messages.