User Configuration\Administrative Templates\System\User Profiles\Exclude directories in roaming profile
If you wish to exclude more than one folder, you could type, for example: cookies; application data
Note: By default, profiles are stored in the "Documents and Settings\user name" folder on the local computer, where user name is the name of the user to whom the profile belongs.
This is considered as the "root" folder of the profile, and is not included when you specify folders to exclude. For example, to prevent the desktop from roaming with the profile, type desktop in the Prevent the following directories from roaming with the profile box. Make sure that a semicolon separates each entry in the list.
You can do this via group policy:
If you wish to exclude more than one folder, you could type, for example: cookies; application data
Note: By default, profiles are stored in the "Documents and Settings\user name" folder on the local computer, where user name is the name of the user to whom the profile belongs.
This is considered as the "root" folder of the profile, and is not included when you specify folders to exclude. For example, to prevent the desktop from roaming with the profile, type desktop in the Prevent the following directories from roaming with the profile box. Make sure that a semicolon separates each entry in the list.
Create a group policy and add the folders to be excluded.
User Configuration\Administrative Templates\System\User Profiles\Exclude directories in roaming profile
Or as an alternative, or in addition to your exclusions you may want to consider redirecting the folders that you don't want to roam.
See Microsoft's document Group Policy Recommendations for Roaming User Profiles.