ActiveSync (which the iPhone uses) works over ports 80 and 443 (preferably 443). Yes you will need to forward HTTPS traffic to your Exchange server for this to work.
I really recommend the Exchange ActiveSync test over at testexchangeconnectivity.com - it is one of the best tools you can use to help you set it up properly and diagnose any problems.
Exchange should have already created you a self signed SSL certificate and set it to secure your server. If you don't have a certificate of your own to replace the one it created, you can still use ActiveSync on the iPhone, you will just need to trust the certificate when the iPhone email setup prompts you to.