Connecting to Exchange powershell is, for normal operations, as simple as opening the shortcut on you start menu :).
However, if you have the need to have some scripts perform actions against your Exchange you can use the below code to make that happen!

\$s
= New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri http://YourCASServerFQDN/PowerShell/ -Authentication Kerberos  Import-PSSession \$s    Add-PSSnapin Microsoft.Exchange.Management.PowerShell.E2010  . \$env:ExchangeInstallPath\bin\RemoteExchange.ps1  Connect-ExchangeServer -auto