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No, they have different functionalities but they complement each other. Outlook is an e-mail client that allows for downloading and connecting to different e-mail systems through either POP3, IMAP, or to an Exchange Server through MAPI or Outlook Anywhere. Microsoft Exchange is a server that hosts mailboxes that e-mail flows into. It can host thousands of mailboxes and e-mail clients, such as Outlook, can connect to it to read e-mail in the user's mailboxes. Exchange Server also have a web mail feature called Outlook Web Access that is very robust and acts much like Outlook, however the Outlook client has more features.
Outlook.com is very similar to Outlook Web Access on Exchange Server.
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You'll need to sign up for an email service like outlook.com or gmail.com the you can connect Outlook to that service.
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