I would follow the documentation, although it is pretty simple - a shorter version is "put your mail server's connection information into Jira's configuration screen for a mail server"
I suspect you have already done that though, so I guess your question is being asked because it has not worked. We can't help you without knowing what has gone wrong, so if you want help, please describe the problem.
We can make some suggestions without context - make sure your connection information is correct, and that exchange is set up properly to support SMTP and IMAP(S) (Newer versions tend to default to only using the inferior and pointlessly expensive MAPI protocol that most of the world is dumping)
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