Hi
I just set this up, really very easy, install the program from the Exchange CD as people2 said, this used IIS so that needs to be installed also. It pretty much configures it all for you. All I did then was contact our ISP to get a DNS name set up for the service (nicer than giving people a IP address) changed my internal DNS to match the external DNS name (but pointing to the internal address) opened my firewall to let HTTP port 80 access to the machine (have changed it to HTTPS since, but thats another story).
Sorry gone on a bit there, let us know if you have any problems!!
Simon