If I had a pound (or dollar if your in the US) for every time a customer had asked about Exchange and firewalls then I would be a very rich man.

Brian Day has put together an excellent article that should clear this up once and for all, so make sure you all read it:

http://blogs.technet.com/b/exchange/archive/2013/02/18/exchange-firewalls-and-support-oh-my.aspx