There are instructions on how to set up MM on your phone, a PC and a Mac on the mobileme page. Step by step instructions.
http://www.apple.com/mobileme/setup/ it's really pretty simple. The thing is, it will only check mail sent to your @me.com address. So you would need to have your work email forwarded to your @me.com address to pick up your work mail on your phone.
FWIW, there are some pretty exchange skilled people here, why not post up a question on how to get your exchange set up on your iPhone, maybe they can help you out, if your IT dept is a bunch of boneheads.