Okay, got it to work!
The best way to do it is:
1) Quit Mail
2) Go to the Finder Window
3) Open your Home Folder
4) Open the Library folder
5) Open the Preferences Folder
6) Grab the file called com.apple.mail.plist and put it on your desktop. This is the preferences file with all your mail settings for your current account, so be aware that your are no longer going to use the current accounts setup if you choose this method.
7) Open Mail, it will run the Automated Guide. First it should ask you to rename your Outbox to Delievered. Do this!
8) Use an IMAP account (make sure IMAP is turned on on your Exchange Server)
9) When it asks for Outgoing and Incoming mail server settings you should use smtp.exchange.server.name.com and mail.exchange.server.name.com respectively. However, it is better to use the direct IP address of the server for both. In my case, since I'm internal, I used 10.1.1.5.
10) Don't bother with SSL authentication if you are within the network.
That should be it. Granted, if you have a large inbox or Delivered box, it will take quit some time to update in Mail.app. And unlike Entourage, there is no indicator of how many messages or how log it will take to process.
I did the same thing in Entrouage and the results were startlingly different. M$ obviously has things tied up because Entourage is several orders of magnitude faster than Mail.app. In fact, the Mail.app is not really useable, IMO, for exchange use.
I hate using M$ products especially when Mail.app has such a wonderful minimal interface. But that being said, the current version of Office is best version ever release for either platform. The Mac Business Unit should be commended.
Good luck with your results!