To use the E61, you'll need to download the latest version of Nokia's Mail for Exchange software from http://www.businesssoftware.nokia.com/mail_for_exchange_downloads.php and install it on your phone.
EDIT: The current version of Mail for Exchange for the S60 ( 2.9.158 ) is broken for the E65 and E71 variants. Symptoms include partial downloads of large contact databases, and "hangs" / immediate disconnects when trying to sync. The new version (2.9.208) is working fine on the E71. an upgrade is recommended.
Once that's done, set up a profile:
|Exchange server||Webmail server name|
|secure connection||yes if https or mixed mode, no otherwise|
|access point||Whichever AP your service provider gives you|
|sync while roaming||up to you|
|default port||yes or no|
|port||depends on your mail mode - usually 80 or 443|
|username||your email address|
|domain||your email domain|
|Sync calendar, contacts, email||your choice|
|In case of conflict||your choice|
Everything else depends on your needs