There is a built in function for this if you prefer, but first get the id of the page you want to exclude.
go to Manage->[select post to exclude]. You will end up at the “Write Page” section where you can edit the page. Look at the url field of your browser, should look like this:
myblogexample.com/wp-admin/page.php?action=edit&post=134
The number at the end is the id of the page you want to exclude, 134 in this case.
Now go to Design->Widgets. To the sidebar, you have added the Pages-widget. Press edit on that widget. Under the field Exclude, put the page id from from the step above (134 in my example)
press change, save changes.