The reason that HTC android system cannot setup Exchange ActiveSync is because they implant the security protocol differently from the "normal" way. During the account setup process, the software could not be triggered correctly from the server to setup the password, which usually is required by the Exchange administrator. Hope HTC notice this and fix it!
OK. Here is my way to make it work right now. You need to have access to another non-HTC Android phone. I was using a Motorola Droid.
- Setup Exchange account on non-HTC android phone. During the setup, some security credentials are saved to your SD card.
- Power off both phones. Take non-HTC's SD card and put into HTC EVO.

- Now, as shown above, Settings - Security - Install from SD card.
- Go ahead and setup the exchange account. Should be very straight forward.

As shown above, before I setup my exchange account, I was using pattern for unlock. After the setup, it switched to use password method ...

Oh well! Works better than not.
Btw, I really like the HTC calendar widget! Very nice.
Thank you
I don't have access to a non-HTC phone. Is there ANY way possible to do it ONLY from my Evo 4G?
Not sure. What I post was the way I fixed my problem at that time. You can try remove your exchange account, take out your SD card; and add the exchange account again. It might be better to have password setup before adding the exchange account.
Was the security protocal you mention for a sever with SSL? Our corperate sever is not running SSL and I cannot connect my Evo. Says "connection aborted" every time. I know my settings are correct because if I use a bad username/password it comes back saying those are invalid. Something is not allowing the connection? Other employees use IPhones, Blackberries and my old Treo 700 sync perfect. Touch down did't work as seamlessly as I would like so I would like to get ActiveSync running. ActiveSync also failed in Touchdown, but setup running the oldder 2003 protocal if that says anything.
Does the security protocal you mention for SSL?
Our corperate sever not SSL. Everytime I try activesync it says 'connection aborted'. Pretty sure settings are correct because works when I change user name, server, password it says settings are not valid.
No. I think it is the one set by admin of the exchange server to require a password lock on the phone.
I would try to complete delete the exchange account, and set it up again. Still no luck, try to contact the IT department - nothing can be done on the phone if the server is not correctly setup. Alternative, route through a gmail?