When Exchange is set up, it automatically sets size limits for your incoming and outgoing e-mails.
This may not be suitable for you, if you often send or receive messages with large attachments you'll probably want to change the allocated sizes.
Thankfully it's quite simple.
On your server, open up Exchange System Manager from Start > Programs > Microsoft Exchange > System Manager.
Expand Global Settings, Right click on Message Delivery and select Properties.
Click on the default tab and change the limits or remove them altogether.
This method is for changing the limits on all mailboxes, there are other methods to change individual mailboxes if needed.