Many hosts can provide this as an extra service because it does take a little bit of work to set up on the front side, but once done requires NO extra work on the part of the sender. To suggest it's their responsibility to do that manually every time is a bit annoying... sort of like saying "filter your own damn spam... just hit the delete button!"
For instance, I have a client that is a law office. They have a system setup to copy ALL incoming and outgoing mail to another location that they do not have direct access to for archive purposes. Because they can't access it, it puts a layer of security on the archive helping alleviate the problem of somebody accusing them of deleting email.
Now then, to answer your question
One of the simplest ways to do this is to install MailScanner. (If you want it done right, and cheap, have Chirpy do it... look for his ads in the 'ads and offers' section) MailScanner can do this type of filtering/copying on a domain basis, email account basis, etc. and send it to a directory, another email address, etc.