ssbn,
I have been filtering exchange mail with SME for 7 months now. Simply change your mx record to point to your SME server (which must be the same domain as exchange) and set your delgate email server IP address in server manager.
Looking at the logs, I get over 1000 blocked spams per day. About a dozen or so get though every day, so the filter rate is very good. If you have a backup mx server, you will have to set up an sme to protect it as well, as many spammers simply send email to the backup mx server knowing it is less likely to be protected.
My exchange had just a host record (not mx) on the internet for pop3 clients to access and the damn spammers found it and started sending spam to the host record IP instead of the mx record for my domain. They really want you to get your daily spam! No more internet IP address for my exchange....pop3 is now portforwarded from SME.
ryan