First, Exim is not a mail server, only a part of it. Exim is a MTA (Mail Transfer Agent) like Postfix for example and can only take care of part of what a mail servers' functionality is.
On the other hand when asking a question you should always, at the least, mention what distro and version you are using so that we can provide more dedicated answers.
Can you tell us what you need exactly? Are you trying to setup a full mail server or just configure Exim?