Normally when we install CRM 2011 the setup will be asking for the Email Router at that time we could have just skipped the step...
Later if you want to point your email router server from your application server means what we can do??
There is an option specified while we install the CRM itself it is told that we can install the email router later and we can configure the same while installing crm itself they have mentioned the way over there
Open the Active directory
In you domain Navigate to CRM
Right click on the PrivUserGroup and click on properties
Now its pointed :)
Thanks to MR Kanaga Raj Pandian and Mr Akilan S !!