For Active Directory integrated policies, you can specify selected Active Directory User(s) and Group(s) as policy excluded accounts. For example, consider that AD Group1 contains and exclusion for ADuser1 and ADuser2. In this case, ADUser1, and ADUser2 will be excluded according to the AD Group1 policy.
Exclusion only works in an AD environment. The Exception list does not support AD users/groups across the forest and also does not support global AD groups.
For SharePoint user(s) and Group(s) integrated policies, you can specify selected SharePoint site(s) and user(s)/group(s) within the site(s).
PortalProtect and MOSS 2010/WSS 4.0 provides real-time policy exceptions. MOSS 2007/WSS 3.0 does not provide for this functionality. See Adding a Content Filtering Policy (MOSS 2010/WSS 4.0) and Adding a Content Filtering Policy (MOSS 2007/WSS 3.0) for more information.