By Microsoft Exchange, I assume you mean Microsoft Exchange Server. Microsoft Exchange Server is Microsoft's Groupware/Email solution for organisations that want to host their email in-house.
Typically a setup includes an Exchange server with a number of clients connecting using Microsoft Outlook.
Users' emails, calendar appointments and infact any items created in Outlook can be stored centrally on the Exchange Server. In addition, the Exchange Server can be setup to send and receive emails on behalf of the organisation's domain.
By using an Exchange Server, your emails (and other data) can be backed up centrally and more importantly virus checked.
Also you have the Outlook Web Access facilities to allow users to access e-mail, contacts, diary, etc... through a webpage. And, the ActiveSync facilities to synchronise with handhelds, over the web aswell i beleive.