Yeah, that's right. Microsoft Exchange. It's part of their server software, and most big companies use it (I guess there are a few Lotus Notes holdouts). So anyhow, exchange is the email system, and if your school uses it, a Windows Mobile device will interface directly with the server. For me, that means I receive emails wirelessly on my handheld before they pop up on my computer, even if I'm hard-plugged into the system at school. It also means that if I send or respond to an email on my handheld, it's reflected on my computer as well. If I delete a message in one place, it's gone from the other - so you don't have to repeat tasks and keep track of two separate things.
Coordinating email is really useful, especially if you're away from school (say for recruiting) for a few days. The other thing is that you can coordinate your calendar (Outlook) with your computer as well as any school calendars. So, we have a master calender here that lists all the events - I can have those automatically synced with my handheld. This helps a lot when you are, for example, running around New York meeting with 15 firms in 4 days and there are last-minute changes.