I installed debian 2.2 linux on a small 325mb 486 laptop. When I try to test the Mail program, I get the following error: Failed to open configuration file /etc/exim.conf.

The Debian installation should have given you /usr/sbin/eximconfig, which asks you some questions and then sets up the configuration file in /etc/exim.conf. Try running that (you'll probably need root) and see how it goes. In any case you get a thoroughly commented conf file at the end, which will give you a sample from which to work if you need further modification. The Exim docs in the Debian package are in /usr/doc/exim where the full reference manual is spec.txt.gz.