Brian Reid, a well known speaker and Exchange MCM has posted three videos explaining the steps to install and configure AD RMS (Active Directory Rights Management Service) with Exchange 2010.
The first video covers installing AD RMS, second configuring and third making it work with Office 365. Do check out the videos.
Installing AD RMS here
Configuring AD RMS here
Integrating AD RMS with Office 365 here
Full info @ source.