No each user does not need an email account on your ISPs mail server to use Exchange.
You will need the ISP to create an A-type DNS for the SBS host. Then they will need to create an MX-type record for the domain at which you need to receive inbound messages for. You will need to open your firewall to permit inbound & outbound SMTP (tcp port 25) traffic. Be sure to configure your SBS server to deny relay for all domains other than yours. Once you get through these steps, you should be able to send an inbound test message to a user on your server. If it gets rejected, you can look at the non-deliverable message and then begin troubleshooting the problem.