That would be how you would do it to forward from exchange to a hotmail account. Not the other way which is how I believe the OP want to do it. Trying some redirects of my own right now.
Edit: very strange that hotmail will not let you forward to other accounts. Gmail will let you do it.
What is your need to have your hotmail account forwarded to your exchange email account? Why not just use your exchange account full time?