The following instructions step through the process of configuring your Office 365 Exchange Online account with Apple Mail for Mac OS X 10.9 - 10.10.
Open Apple Mail.
*Note: If this is your first time opening Mail, go to step 3.
Next, you'll want to add your email alias (e.g. email@example.com) to your Account in Apple mail. This will prevent you from receiving your own message when you click reply all in an email message.
Select the Mail drop down menu, then choose Preferences.