DNS help

I recently installed a server to host microsoft exchange. The problem is that it is taking a long time to connect to exchange. When I ping the server I noticed that it is going out on the internet to connect which is why it is taking so long. When I change my preferred dns to point to the server it is very quick but then I do not have internet access. I am not familiar with DNS and am not sure what I need to do. Should I set my Windows 2000 server to forward on to the internet? If so, how do I do this?