There are plenty of guides for virtualizing Exchange servers on the internet. I, for example, discussed that topic and did convert some Exchange 2003 as described in
http://communities.vmware.com//message/1042012 (conversion for production environment though)
You can use hot cloning for the Exchange server, but should turn off all transaction based services to ensure a consistent state.
For DC's, you must use cold cloning, as described in
http://kb.vmware.com/selfservice/microsites/search.do?language=en_US&cmd=displayKC&externalId=100699...
But it's generally recommended to install a new DC instead of converting it.
Besides, why don't you use the free ESXi for your test environment instead of vmware server 2.0?
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