When using MessageGuard with Microsoft Exchange, you first need to configure Exchange to perform "journaling" on the messages going through the Exchange system.  These instructions are for Exchange 2010 only.  Articles for Exchange 2007, 2003, and 2000 are also located in our Knowledgebase, just search for whatever version you have.

MessageGuard, Microsoft Exchange 2010

1. Make an account for the journaling ("messageguard" for example).  This account needs to have a very secure / strong password, since every piece of mail will be temporarily stored in this mailbox.  We recommend using at least one special character, one number, and mixed case.  A random string of characters works best.
2. In the Exchange Management Console, navigate to "Organization Configuration" -> "Mailbox".  In the top center pane, select the "Database Management" tab, then select one of your databases.  Now right click on that database and select "Properties".  Go to the "Maintenance" tab, check the box for "Journal Recipient", then use the "Browse" button to select the MessageGuard account you created in step 1.  Click "OK" to close the properties page.  Repeat this process for all of your mail databases.
3. Make sure POP3 is enabled for the server. ("Server Configuration" -> "Client Access" -> select your server -> "POP3 and IMAP4")  This may be off in the Services applet in the Control Panel too...check to make sure it's not disabled there. If it is, set it to Automatic.