If you are a Forefront Online Protection for Exchange customer who is getting started with Exchange Hosted Archive, the following topic, Exchange Hosted Archive (EHA) Quick Start Guide, shows abbreviated steps required to set up the service, in one place.
More thorough technical documentation for Exchange Hosted Archive can be found at Exchange Hosted Archive (EHA) User Guide.
If you're unfamiliar with EHA, the following description is helpful, from the EHA Overview: EHA can intercept and copy inbound, outbound, and internal email messages. All copies are then stored in a secure archive. With comprehensive message indexing, you can search stored messages by date, sender, recipients, header, subject line, contents, and attachment name. EHA storage can be used for retention periods of up to 10 years.