i doubt you are using an exchange server. unless it is your company laptop. i think that outlook must be your default mail client and is set up to look for an excahnge server. with exchange your address book is part of your mailbox which is stored on an exchange server which you connect to via an RPC across a LAN. hence the message you are getting
to set outlook express as a default mail client open oe click tools and on the general tab click under default messaging program "make default". or enter outlook click tools services and then remove microsoft exchange.