I've never administered Exchange server but you'll need to first make sure it's configured for pop mail. If it doesn't respond to pop requests, your code will never work. It may do this by default but I know in the past that mail administrators would have to specifically configure a corporate mail server to support pop.
Once this is done, it's just a simple matter of using <cfpop>. I would read the docs on this as it will give you important background info on the <cfpop> tag.
Here's some example code to help:
<cfpop
server="10.1.1.10"
username="myUsername"
password="myPassword"
action="getall"
name="emails"
timeout="300"
>
<cfoutput query="emails">
From: #emails.from#
Subject: #emails.subject#
#emails.body#
<p>
</cfoutput>
Hope this helps,
GJ