You're welcome.
I should be able to export the exchange contact to another computer but I am wondering if sync contact with an supported application is a must for this case?
Yes.
Prior to firmware version 3.0, it wasn't possible to sync contacts over the air with an Exchange account or with a MobileMe account and sync contacts direct with the supported application on a computer via the iTunes sync process. You could do one or the other, not both at the same time.
Beginning with firmware version 3.0, the ability to do both was included. This allows for syncing business contacts and calendar events over the air with an Exchange account and sync personal contacts and calendar events direct with a supported application on your computer via the iTunes sync process. Business and personal contacts and calendar events are available separately on the iPhone, which can be viewed combined or separately. Contacts and calendar events synced direct with a supported application on your computer via the iTunes sync process are stored locally on the iPhone. Contacts and calendar events synced over the air are not - this requires access to the server where this data is stored. Delete the account from the iPhone, and access to the server where this data is stored and kept synchronized with is no longer available.
Don't iphone has own capabilities of storing contacts and backup contacts?
Yes it does as already provided. With Windows, the iPhone supports syncing contacts and calendar events direct with Outlook via the iTunes sync process - with Outlook 2003 or 2007, and with Windows Contacts for syncing contacts only - the address book used by Outlook Express with XP, and with Windows Mail with Vista/Windows 7.
I will need to use a brand new computer soon which means that i have to transfer the exported contacts to the new computer. Do you think transfering all contacts to Windows live address book or google contacts will be options here so that I can also sync again when i transfer to a new computer?
The iPhone does not support syncing contacts with a Windows live address book. The only way to access a Hotmail account with the iPhone is as a POP account, which is the only account type that Microsoft supports. Microsoft would need to support accessing a Hotmail account as an Exchange account via ActiveSync with the iPhone's Mail client for this, as Google does not with a Gmail account.
Contacts stored locally on the iPhone - those synced direct with a supported address book application on your computer via the iTunes sync process are included with your iPhone's backup, which is updated as the first step during the sync process. Contacts synced over the air with an email account that supports this - Exchange via ActiveSync and/or with a MobileMe account are provided and kept synchronized with the server where this data is stored.
What is the step to take to avoid missing contacts when I have a new company exchange mail account that I would like to add to the iphone?
Already answered previously. If you go to work for another company with an Exchange account that supports accessing the account via ActiveSync with the iPhone, you will sync business contacts and calendar events over the air with your Exchange account on your iPhone along with the ability to sync personal contacts and calendar events direct with Outlook 2003 or 2007 via the iTunes sync process with a personal computer at home. When doing so, you can view all contacts and calendar events combined or separately on your iPhone.