Spamhaus - Frequently Asked Questions (FAQ)
and
SpamCop.net - SpamCop FAQ: Sendmail

in your sendmail.mc u should have something like this
dnl #standard blacklists
FEATURE(`dnsbl',`zen.spamhaus.org',`Rejected - see Error
FEATURE(`enhdnsbl', `bl.spamcop.net', `"Spam blocked see: http://spamcop.net/bl.shtml?"$&{client_addr}', `t')dnl