Exchange - exclude emails from being sent to my phone
if their isn't an option to select a set of folders.
I'm assuming there's something about those folders like big attachments? Or to sensitive to be on a mobile device?
My best advice to you would be to move the folders in question into an archive and set up a rule to automatically sort your mail into that. You'll never see an archive folder on your phone, so job done.
Hope that helps.