Using Exchange to Host POP3

I have about 6 domains, adding two more in the next 2 – 3 months. Right now, I have a web host hosting both the web pages and the e-mail. I am contemplating hosting the web sites and the e-mail myself. I heard that you can use Exchange to host the pop 3 mail for all of the domains. I just ahve a few questions:

1. Does anyone know if there are any really good how to’s out there on how to do this step by step.
2. Are there any other alternatives other than Exchange. My background is Windows.
3. Can I host both the web site and the e-mail on the same server?
4. What kind of security should I be looking at (virus protection, spam protection, etc…)

Any other recommendations or suggestions would be greatly appreciated.