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".
![enter image description here](https://i.stack.imgur.com/piX7s.png)
Then select the module, and click the "minus" button to remove it.
![enter image description here](https://i.stack.imgur.com/cUfVZ.png)
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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