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I haven't integrated an MS Exchange server, instead choosing to use my colo providers mail servers as an interim measure - one that takes the onus of forever 'guarding' the mailserver from exploitation.
I will need about 8 e-mail addresses and about 20 aliases for my domain. Do I need to also purchase Microsoft Exchange server for the box as well?
First of all, Exchange is much more than a mail server. It's a groupware platform. If you want to enable a large number of people to share calendars, task lists, contacts and mailboxes and if you want them to be able to access those from whatever workstation they logon to, you will need Exchange. If you want to do this for a smaller number of users, you could use Tobit.
But if you only need email and aliases, I would suggest that you get entry level hosting at any ISP and use pop3 on each workstation to fetch mail into whatever e-mail client you want to use.
Setting up Exchange can be a hassle. If you really want to go through it, I wouldn't do it on a server that's directly connected to the internet. You need some sort of firewall between the exchange server and the world.
A lot of people combine external hosting and exchange. There are lot's of ways of getting the mail from the ISP to the exchange server: smtp routes, centralized pop3 and local pop3.
Alternatives to using Exchange as a mail relay are pen-source mail relays like Exim or Postfix that have been ported to Windows. While we're at it: Why not switch to Linux completely? Use MySQL or PostgreSQL instead of MySQL. Exim, Postfix, Courier or even Sendmail instead of Exchange. Samba instead of Windows's file server.
One last thing about Exchange. I find Outlook Web Access an intriguing solution. It's a complete web-based PIM for Exchange. But it only works properly on IE.
Ahh, before I forget. Have a look at Microsoft's Small Business Server 2003. It bundles Windows Server, IIS, Exchange, SQL Server all in one package with an integrated setup procedure that covers the basic needs of small offices and workgroups. Using SBS, it will be a lot easier to setup Exchange I think.
If you go down the Exchange path, don't forget to buy a Spam and Virus filter. F-Secure, Symantec are some names. These integrate fairly well into Exchange.