To move your assets from an exchange to a Ledger wallet, you'll need to create a unique receiving address by opening the Ledger Live app and installing the cryptocurrency application associated with the assets you want to store. Once the app is installed, create the address and verify it by looking at the Nano's trusted display. Copy the address, then log in to the exchange and go to the withdrawals page, where you can paste in the address and initiate the transfer. After confirming the transaction request with the exchange via two-factor authentication, your assets will be securely moved to the safety of your Ledger wallet.