If you activate Spaces (by pressing F8, by default), then use the "C" key to gather all open windows into the first space, windows of hidden applications won't be affected. Neither will minimized windows.

So, to prevent some windows from being moved when using that shortcut, minimize (Command-M) the windows you wish to remain in their current spaces, or hide the apps (Command-H, usually) to which they belong, before invoking Spaces' F8 overview mode.