This functionality is not possible inside marketo. You can get Siftrock to handle Reply management if you want.
If the person is OOO, why would you want to send them another reply though?
So if the "Reply To" address is setup as 'email@example.com' and someone replies to the email - where does it go? I would think there should be a auto-email going to the customer saying, this is a no reply email address, please call on this number to talk to us for example.
The (usually ill-advised) idea behind having a no-reply address is that it simply swallows replies and no one ever looks at them. If you send an auto-response you can easily create email loops. Don't do this.
If you feel having a no-reply mailbox behind your marketing is appropriate, stick to your guns and ignore replies. If you can't fully ignore replies, use an attended mailbox (which is the best practice).
Supposedly an auto- response should go to the customer saying something like, 'this is a noreply email address, please call for any assistance". Where do we setup this auto-response email in Marketo?
You don't. Unless your From: and Reply-To: addresses are both themselves unattended (which is a bad practice) you cannot force all automated responses sent on behalf of a human (rather than on behalf of a server) to go to a specific auto-response-only address. OoO responses may go to the From:, the envelope sender, or even the Reply-To:, depending on what the remote mailserver has deemed most accurate. RFC 3834 makes an impassioned plea for such responses to go to the envelope sender (via the Return-Path: header, which is typically equivalent), but in the real world this cannot be relied upon.
Of the 3, Marketo only receives mail for the envelope sender domain. It cannot be configured to respond to such emails, for good reason.
You can try passing your inbound email through mail classifiers that can -- with maybe 95% accuracy -- distinguish automated from human responses, and take different actions based on the result.
But Marketo has nothing to do with this because they don't receive mail for your From: and Reply:To: domains.
Also please search the Community as there are many threads on this topic: see My out of office for one.