What is a one-sentence summary of the following article?
Backup software that can't handle open files can result in loss of data.  Online backups can be run while the Exchange server is in use. Offline backup will stop the Exchange database and services. Full backups back up everything. Incremental or differential backups backup changes in exchange stores, directories or folders, which takes less time and disk space.

Summary:
Check with Microsoft and the vendor to make sure the third party application is supported by Microsoft and meets requirements for backing up Exchange. Install Exchange Agent backup software on the backup server. Decide whether to run online or offline backups. Choose whether to do full, incremental, or differential backups.