What happens when a commander is exiled?
The rule is


  If a commander would be put into a library, hand, graveyard or exile from anywhere, its owner may choose to move it to the command zone instead.


(See mtgcommander.net)

So, in this case, you get to choose whether it goes into exile or the command zone. If you put it in the command zone, then your opponent can't use the Sisters' other ability to bring it back, of course.

Several important nuances:


You don't have to put your commander back in the command zone. This is handy if, for instance, you can't afford to hardcast your commander, but you've got a reanimation spell in your hand.
Going to the command zone is a replacement effect, so your commander will never actually hit the graveyard or the exile zone, and won't trigger "on exile" or "on graveyard" triggers. E.g. if you are playing Keiga as your commander, you don't actually get to steal a creature if you put Keiga in the command zone when it dies.
Owner, not controller. Even if someone else Mind-Controls your commander, you still get to pick whether it goes back into your command zone.
You only get a choice when the commander is about to go to the new zone. So, if you put it into the graveyard, it'll stay there. If someone exiles it from your graveyard, then "would be put into ... exile from anywhere" applies again, so you can scoop your commander back into the command zone. Mimeoplasm, for example, can copy a dead commander like any other creature card in your graveyard, but at least you can put that commander back in your command zone since it gets exiled (Mimeoplasm still comes into play as the copy).
Recasting your commander from your hand doesn't cost extra like bringing it back from the command zone does; nor does it count for figuring out how many times you've cast it from the command zone already.
Rare card interactions can cause a card to move from one zone to the same zone. If that happens to your commander, fear not: you do still get the option to put it in the command zone. See this answer for a detailed explanation.