Actually you are thinking of Outlook (the client) and not Exchange (the server). Viruses like Klez have their own code built into them so that they can mail themselves from your computer without the need to use a mail program like Outlook. Klez doez need Outlook (Express) to farm email addresses, though. Fortunately most everyone these days uses it.
Broadband users are especially dangerous because they have that "always on" connection that gives Klez and similar viruses the ability to send out emails whenever it wants, and the infected party never knows until they purchase/update antivirus software. Frustrating, really.