Before you select a backup disk, use the Options menu to exclude any folders you don't want in your backup.

Use the + and – buttons to add or remove folders from the exclusion list.

The Options menu is also home to a couple other settings:

If your machine is a laptop, you can check the first box to allow the computer to back up while it is using battery power (not plugged in).

Check the second box if you want a notification whenever Time Machine automatically deletes a backup to save space.