I've set up a few and this is fairly straight forward.
If you plan to have less than 15 users you can install on the Exchange Server - but would suggest installing on a separate server.
Simply the "BES" is notified by Exchange when messages are delivered to BB users mailboxes, the bes compresses & encrypts msgs which are forwarded to the BB by opening an outbound connection on port 3101 to the Internet, msg is delivered to RIM wireless network, then to mobile provider network and finally to BB where msg is decrypted & uncompressed. Sending works in reverse.
Have a look at the install guide - Livelink - Redirection
The port mentioned in the guide is 3101.