What version of Exchange have you got?
To test connectivity, visit
https://testexchangeconnectivity.com and run the Exchange Activesync test.
If you have Exchange 2003, run the test specifying manual server settings. If 2007/2010, use the autodiscover settings.
I have an FAQ for Exchange 2003 if your tests fail that might be of help.
http://www.it-eye.co.uk/faqs/readQuestion.php?qid=1