Possible causes:
1. In an Exchange 2010 environment the EPW needs to connect to the Exchange server holding the mailbox, not to the DAG or CAS.
2. The name of the Exchange server needs to be specified using the short name (NetBIOS).
3. When completing the screen which asks which account to use, selecting the account via the "Browse" button might populate the username with "<DOMAIN>\<Display Name> rather than "<DOMAIN>\<username>", so it will fail. Typing the username directly and manually is recommended in such situation.
4. EPW attempts to connect and authenticate via IIS using HTTP/HTTPS. For Exchange 2007 EPW uses WebDAV, against Exchange 2010 it uses Exchange Web Services (EWS). If or example the Exchange Outlook Anywhere address is not added to the Proxy exclusion list in Internet Explorer, then the authentication is passed to the Proxy server (which knows nothing about Exchange mailboxes) and the call will fail.