1. Download an iso image. IF you have broadband internet access, you can do most of the install over the net and get the freshest packages. That's why I recommended the netinst images (they are significantly smaller).
You may have to download the entire disk one ISO. AS I mentioned, just get this one. Don't bother with the others if you have a connection to the net.
Debian is currently at version 3.0r2. We don't release as often as Redhat. They have a business model to supply/feed. We just have stable, quality software across 11 different architectures.
So Debian is at 3.0r2. This release is called "Woody". There is a Testing tree, nicknamed "Sarge". The next release of Debian will occur when Sarge is ready. At this time Woody will be put out to pasture like it's predecessors Potato and Hamm. (I started with Potato, and there was a Slink, wasn't there?). ANYway, Go get the woody .iso. Burn it. Reboot. Install it.
The best game plan with Debian is to install the Stable (Woody) version and then make your decisions on whether or not to use Testing or Unstable packages.
Installing exim is this easy: after the first reboot you will be put into a program called base-config. Near the end of this routine, you will get the eximconfig program that configures exim. It is so easy that you will slap yourself for EVER using Sendmail.
If you are running your own mailserver, choose option 1, put in your username to receive root's mail. and accept the few defaults. That's it.
Here's a link to the ISO and I put installation instructions up in earlier post. Debian can be installed within 30 minutes.
http://www.debian.org/CD/http-ftp/
Choose your mirror, and get the following file:
debian-30r1-i386-binary-1.iso
(though it may be 30r2 now).
Good luck!