Exchange is a great product, but its not as simple as Mailenable, you can't just install it on your server and away you go.
For a start there are a number of pre-requisites you need to get setup before you install Exchange, in particular you need an Active Directory domain, with accessible domain controller. You can installed Exchange on the same machine as the domain controller, but its not advisable.
You will also find that Exchange needs alot more resources than mailenable. In particular if your using Exchange 2007 you need a minimum of 2GB of RAM, more if you have more than a handful of mailboxes.
Exchange is not just an email server, its a complete messaging and collaboration solution, and so its hardware requirements reflect that.
The Exchange Management console, in my opinion is an excellent interface (at least in 2007 onwards), however its not simple. You can probably get by creating a mailbox reasonably easily, but if you have problems with Exchange, you are going to need to know what your doing, or get someone who does to fix it.
My recommendation is that if you just want a simple email server for sending and receiving mail, Exchange is not the best option, stick with mailenable or find another simple mail server that works better for you. If you do want all the full features of Exchange (which are great), then go for it, but make sure you have the time to learn how to use it, or the funds to pay someone to come in and do it for you. Also make sure that your hardware is capable of doing what you need.
As for running everything on one server, you can, and I know many people who do, but its not the recommended way to do it, it exposes some potential problems, and it means that if Exchange starts eating up all your memory because you have a large amount of email, your web server is going to suffer. I would recommend using a separate machine for Exchange if possible.