The "Mark as Excluded" option isn't there anymore.
The current (Android Studio 0.8.x - 2.2.x) way to do this is via the Project Structure dialog. It can be accessed via "File -> Project Structure" or by right-clicking on a Module and selecting "Module Settings".
Then select the module, and click the "minus" button to remove it.
The directory will still be visible in the "Project" view (though not in the "Android" view) since it's not actually deleted, but it will no longer be treated as a module.
If you want, you can then physically delete the files it by right-clicking on it and pressing "Delete".
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