As with every Exchange release the first step is to look up the installation system requirements and the pre-requisites.
To begin Exchange 2019 server must be installed on Windows 2019 Standard or Datacentre.
We also need to be aware of the supported co-existence scenarios. Exchange 2019 will co-exist with Exchange 2013 CU21 and later.
The Domain Controller minimum version must be Windows Server 2012 R2 and consequently the AD forest functional level must be at least Windows Server 2012 R2.
For the complete list of requirements check the links at the end of the article.
Once the requirements are satisfied we are ready to clear the pre-requisites. These depend on which roles we are installing and whether Exchange is being installed on Windows Core or Desktop Experience. Again the pre-requisites article linked at the end covers all of this thoroughly.
Here is our screenshot walkthrough, starting from the first 'Check for Updates?' step to the final 'Setup Completed!' closing wizard page.
Exchange Server system requirements
Exchange Server prerequisites