The best way to handle this would be to set up an alternate recipient on the mailbox that you're wanting to monitor, but only if you want to receive copies of ALL the user's email. Through Exchange, there's no way that I know of to only forward "some" mail. To enable this, open Exchange Administrator, then go to the mailbox that'll be monitored. Double-click on it to open the mailbox properties, then select the Delivery Options tab. At the bottom of this tab is an option to set up an alternate recipient.
If you're only wanting to get copies of messages from certain senders, the best way to do it is to set up an "Inbox" rule through your mail client software on the user's PC. Depending on the client software you're using, it shouldn't betoo hard to walk through the setup, but just make sure you specify that you're sent a "COPY", not the original email message.
Hope this helps.