First of all heres a video to setup iphone with Microsoft Online Services.

http://www.youtube.com/watch?v=yTctxZnOYVc

One thing which caught me out was the server name.The Emea OWA login URL is https://mail.emea.microsoftonline.com

But the actual server address for the iphone is red002.mail.emea.microsoftonline.com

Then test your active sync credentials via https://www.testexchangeconnectivity.com/

Once you have green ticks , all done.