sunnyc
The Exchange database should be backed up using a Exchange Policy type so that you information store is backup up the in correct manner.
The file system backup is for the server itself and should not include any database (SQL, Exchange etc.)
You need to exclude the exchnage databses and logs from the file system backup as they are constantly changing and will always be backed up, if the system can get a lock on them.
So set an exclude in the client host properties against the database and logs directories, should be something like:
C:\Program Files\Microsoft\Exchange Server\ or similar but it is quite likely that the database and logs may be in other paths so open your Exchaneg System Manager and look at the properties of each database (Storage Group) to see where its files live.
If in real doubt then exclude *,edb and *.stm and that will at least help things.