There is no way that I’m aware of to do this. Mail should first be delivered to the Exchange mailbox and kept there because of the single message storage that Exchange does (it saves you space on the server).
The link below has a FAQ of how to forward an Exchange message to a POP3 account, but I don’t think this is what you are doing. Besides, Outlook automatically moves emails from one type of account to the other account, so if you had it automatically forward them between them, you’d probably end up creating a DoS on yourself. The default location is where Outlook moves things to. The email would come in on Exchange, it’d sent it to POP3, then it’d move it to the Exchange server, and then it’d start over again…
See “Automatically forward an Exchange account to a POP3 account” at