reasonably easy. normally, pop3 mails are held on the client, after being "pulled" from the server. the client would normally be something like outlook or outlook express, which can *also* set up an imap connection to exchange - then its simply a matter of dragging and dropping the mail from the local client into the imap folder (which will upload it to exchange)
it is also possible (in outlook) to save off the mails as a pst file, at which point it can be imported into exchange (using the appropriate tool) or re-attached to outlook when it is shifted into its corporate (exchange mapi) mode. the former is a better idea though, as it means all mail is on the server for backup purposes.