Make local exclusion from the client on SEP server..or from SEPM..
You will have to make exclusion for each and every folder.
In 1 policy you can add as many exclusion you want.
You cannot exclude multiple drives in one go..you will have to add each and every drive and path .
eg:e:\MSSQL\data,f:\MSSQL\data,g:\MSSQL\data etc..