<p>I am attempting to send an email using VB.NET.</p>

<p>There are two requirements:</p>

<ol>
<li>The email be saved in their "Sent Items" folder in Outlook (their only email client).</li>
<li>A PDF (generated on the fly) is attached to the email.</li>
</ol>

<p>I am currently creating a new <a href="http://msdn.microsoft.com/en-us/library/system.net.mail.mailmessage.aspx" rel="nofollow noreferrer">MailMessage</a> &amp; sending via a <a href="http://msdn.microsoft.com/en-us/library/system.net.mail.smtpclient.aspx" rel="nofollow noreferrer">SmtpClient</a>, but I believe that this sends from the server, and not from the client.</p>

<p>Is this possible?</p>

<p>EDIT: This is a winforms application, the purpose is to send reports to clients.</p>

You'll have to use the exchange server API or have a local copy of Outlook and use the outlook client API in order to make this happen. SMTP Client and exchange really have very little to do with each other, other than the fact that the Exchange server knows what to do with an SMTP message.
You might be better off just sending two copies of the e-mail, one to the sender and one to the sendee. It's not as seemless in having it show up in the sent items, but it would be much less work and accomplish the same goal.