First, make sure there is not already an exchange server entered in activesync. Activesync -> menu -> options. Highlight "Microsoft Exchange" (if it is there) and delete it.
Then, go to Activesync -> menu -> configure server. Should be obvious from there.
I should have specified, I am referring to the activesync that is in the program folder on your phone, not activesync on your computer. Thought I'd let you know just in case.