GPEDIT in the same location as the first setting mentioned (Computer Configuration > Administrative Templates > Windows Components > Search).
Enable as before: "Do not allow locations on removable drives to be added to libraries"
Enable these two ADDITIONAL settings: "Default excluded paths" AND "Prevent indexing certain paths". In each of those two, specify the drive letters to exclude (i.e. "D:\" "E:\" "F:\" "G:\" "H:"\ "I:\" "J:\" "K:\" "L:\" "M:\")