E-mail auto-replies are set up on the mail server itself. DO NOT set one up in your mail client! If you do and your computer starts auto-replying to another auto-reply mechanism, you will create an infinite e-mail loop. This is bad.
To have an auto-reply set up, simply e-mail Chris Freemesser (chris@cvs.rochester.edu) with the contents of the auto-reply message, and the dates it needs to run for, and he'll set it up on the server for you.