Hi Steve,
From your post, the Exchange Autodiscover is not available, so it asked you for the name of the Microsoft Exchange Server when you set up Outlook.
Given this situation, please refer to the link below to troubleshoot this issue:
http://support.microsoft.com/kb/2404385
If the issue persists, I suggest you try the method 3 in that link to manually set up Outlook.
Thanks,
Edward Qu