I recently had the task of backing up Exchange 2007 using DPM 2007. I added the DPM agent to the Exchange server just fine. When I modified the protection group to add my storage groups I got an error saying I needed the eseutil.exe and ese.dll on the DPM server. I got these off my Exchange server and copied them to the DPM bin folder (C:\program files\Microsoft DPM\DPM\bin\). This took care of that error. You can also create a hard link to eseutil.exe and ese.dll. For more on this see: Exchange Server Database Utilities & DPM07.
After I got past that error I then ran into other errors on my Exchange protection members in DPM.
“DPM has detected a discontinuity in the log chain“
“Error 30216: DPM has detected a discontinuity in the log chain for Storage group First Storage Group on SERVERNAME.fqdn since the last synchronization.
Error details: Unspecified error (0x80004005)
To resolve this I turned circular logging off on my Exchange storage groups and restarted the Exchange Information Store service. I then performed a consistency check on each of my storage group protection members and all errors went away.