I need some guides: I've never done this before
a physical box as exchange 2010 mailbox server, I need to connect it to EMC SAN storage.
It is assuming HBA installed on the physical exchange box.
If I create a LUN in unisphere, how to I mount it to Exchange 2010 datastore?
It depends on which storage product you're using. At least you have to configure switch zoning first and make sure your storage frontend port is visible for you Exchange host. I'd like to recommend you to go through the Windows Host Connectivity guide from EMC online support. It gives the detail steps of connectng windows host to emc storage system.