If you don't want a department to show up in the site map, you should put the department into an inactive category.
To place the department in an inactive category:
1. Under 'Department' choose 'Edit Department'
2. In the 'List Under Which Category Heading' field, choose a category that is inactive (Work Pages is always a good option)
The site map is rebuilt once per night so the changes will not be reflected instantaneously.
If you want the changes to take place immediately, you can run a manual rebuild.
To run a manual rebuild, choose 'Site Rebuild' under the 'Master Settings' category.