1. To add an Exchange account to your iOS device, tap Settings > Mail, Contacts, Calendars > Add Account > Microsoft Exchange.

2. On the next screen, enter your complete email address and password, and a description (which may be anything you like).

3. Choose which type or types of data you would like to synchronize: Mail, Contacts, and Calendars. Note that by default, only three days' worth of email is synchronized. To synchronize more, go into Settings, then Mail, Contacts, Calendars, select your Exchange account, and tap on Mail days to sync.

NOTE: After configuring an Exchange ActiveSync account, all existing contact and calendar information on the iOS device is overwritten. Additionally, iTunes no longer syncs contacts and calendars with your desktop computer. You can still sync your iOS device wirelessly with MobileMe services.

CREDIT: The information above is taken from the official Apple Knowledgebase article on this procedure.