Redirects would have the blog on its own domain name, but the user would be entering the same URL as the rest of your site, then taken to the blog site. The user and search engines would see this as two seperate sites, though. I guess I should ask, what is your concern as far as keeping the same URL?
If your concern is about branding or maintaining your brand, a subdomain (blog.example.com) would probably be your best solution, as you can keep seperate the servers, keep both sites branded, but allow the search engines to see them as seperate sites. This could slightly increase the weight of links from the blog to your internal content, in theory. In addition, it is the easiest to manage, there is no extra cost, and users would see this as a seperate site but still a part of your site - your company web site, and now your company blog site.
If there is a technical reason for this, it is possible, but very complex. One way to to create an internal proxy on your web server that runs in the /blog/ folder. All requests to
www.example.com/blog/ go to this script (done through mod_rewrite - the script would be written in VB most likely) which takes whatever is after blog/ and sends it to your blog server, and the script gets the response and shows it to the user. This will not be easy to set up, especially if you want users to be able to post data to the blog through the URL. The other option would be to install a firewall in front of the servers that could route the traffic based on the incoming request. A little easier to set up, but requires that both servers are dedicated servers, and both servers are at the same location, and that the host is willing to install such equipment.