VMS Help SET, FILE, Qualifiers, /EXCLUDE  *Conan The Librarian (sorry for the slow response - running on an old VAX)

       /EXCLUDE=(filespec[,...])

    Excludes the specified file from the SET FILE operation. You
    can include a directory name but not a device name in the file
    specifications. The asterisk (*)  and the percent sign (%)
    wildcard characters are allowed in the file specification;
    however, you cannot use relative version numbers to exclude a
    specific version. If you specify only one file, you can omit the
    parentheses.