Don't do it. I've experimented with this quite a bit and there are just way too many ways to lose data. For example, if by some chance the network connection goes down or even just gets really slow you will corrupt the transaction logs, the information store will stop and you will probably end up spending loads of time recovering from a database corruption.
The best thing to do would be to use a SAN (Storage Area Network). That way you could also cluster your Exchange if you wanted to.
The SAN acts like a physical drive and that is connected via a fiber cable between the Exchange Server and the Disk Array. To keep from having a single point of failure, I would recommend two fiber cards pointing to the SAN so in the event one goes down, the other will keep your Exchange Server going.
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