I did set it up as an Exchange account, but this does not seem to be working. If we delete email from the PC, it is not removed from the iPhone. What else might I have done wrong? I used these instructions http://support.apple.com/kb/ht4810
Those "instructions" really do not explain how to set anything up.
Is this a work email account? If so, what does the IT department say about setting up email on the iPhone?
If it is a publicly available email account, like Gmail, Yahoo, or Hotmail, follow the instructions provided by the email provider on how to set up the account.