Make sure you have the correct Samsung Galaxy Exhibit 4G also, this forum is for the SGH-T679. I think there are a few different versions of the Galaxy Exhibit now. You can check by going to Settings > About phone and looking at the Model number. You can also check the label that's under the battery. It will brick your phone if you flash anything from this forum and you don't have the T679! If you do have the T679 though, follow the link that @Dvarl
posted to get started. The version of CWM that is linked there is kind of old, but once you install that you can use it to upgrade to one of the newer versions in the Android Development forum.
The first thing you should do once you get CWM installed is use the backup feature to make a copy of your current stock ROM in case something goes wrong!
All of the custom ROMs should already have root access included. Let us know how it goes.