In TMG 2010 we can create a Cache Exceptions rule that will not cache specific website.
To create a Cache Exceptions open TMG 2010, Open Web Access Policy In the left menu panel and click on Web Caching
Click on Cache Rules Tab and Click on New
Name the new Rule
Click Next and add a new URL set or Domain Name set
Add the URL
Click Next
Click Next
Tick the First option
All done