Hi Lakmal,
Using Advanced Open File Option will take care of that, but its not recommended to use AOFO with any DB backup.
So that leaves you with 1 of 3 options:
1. Excluding that folder if not needed;
2. Putting in an exclusion to leave out *.tmp files in all your drives;
3. Creating a job that runs after backing up Exchange ONLY, and appends to the tape. This would include System State and any program folders, and run using AOFO.
Laters!