Problem is now fixed (but I don't know why). See below:

> > > # make -d m bin-install 2>&1 | tee LOG2
> > > Trying ftp://ftp.netbsd.org/pub/NetBSD/packages/1.5/i386/All
> > > ftp: connect to address 3ffe:8050:201:1860:2a0:c9ff:feed:b7ea: No route to
> > > host
> > > pkg_add: can't find package 'exim-3.34.tgz'
> > > Examining bin-install...non-existent...non-existent and no
> > > sources...out-of-date.
> > > update time to now: 19:00:00 Dec 31, 1969

> I will update pkgsrc and try again.

Okay I tried again after doing a cvs update. And now bsd.pkg.mk is version
1.949.

Using "make DEPENDS_TARGET=bin-install bin-install"  under mail/exim now
is working; it didn't quit when package not found and now is "Installing
from source". It took 14.5 minutes to install digest-20010807 from source,
perl-5.6.1nb7 (from binary package) and build and install exim from
source. (I probably saved a lot of time by not building perl from source.)

   Jeremy C. Reed
   http://www.reedmedia.net/