You are correct, first thing you need to setup is the domain controller (this can handle both dhcp and the dns) then introduce whatever server you need i.e exchange.
Although it is good practice to add a backup domain controller so I would set the primary and secondary up before adding anything else to the domain
hope that helps
You may try without registering the domain.
1. PDC (Primary domain controler)
After you installed Windows, set DNS to 127.0.0.1
It will ask you if you want to install DNS. Just click next.
2. BDC (Backup domain controler) as an option.
After you installed Windows, set DNS to your PDC.
Choose additional domain controler.
Set DNS to PDC.
You have to join to the domain before you install Exchange.
You have to install Windows component, ASP.NET, IIS, NNTP and SMTP before you install Exchange.