It's in the same drop down menu as the 'PvP Queue' and 'Visit your Bridge' (click the little point down triangle under your mini map).
It's straight forward enough; you exchange dilithium for zen, or zen for dilithium. You are trading with other players, and so the exchange rates are set by us, and not by Cryptic or PWE.
You can make an offer, and see if anyone meets it (could take a while), or check the offers that others have made and just meet the price they are asking (then you get your zen or dilithium immediately). Offers people have made are shown in the left window (your offers will be shown on the right).
The transfer is automatic; you don't have to do anything beyond enter how much you want, how much you are willing to pay per unit, then hit submit; then just hit 'Withdraw' to take whatever you've acquired out of the exchange and into your assets.