There is not much you can do to prevent the exhaust from rusting. You can paint it if it is paintable, but I have yet to find any kind of coating that won't burn off an exhaust fairly quickly. I have coated headers on cars with a number of different things, everything burned off. I did have an MX bike a long time ago that the exhaust kept rusting on, and it was only ridden in dry conditions. I just kept the pipe coated in oil. Most of the oil would burn off, but if you just keep putting more oil on it it starts to leave a coating. Anyway, it finally quit rusting.
As for everything else made of metal underneath, in addition to washing off the salt, I would also coat everything in WD-40. It works very well at protecting metal from rust and corrosion, and is very inexpensive if you buy it by the gallon and put it in a spray bottle. I live in the middle of the AZ desert, and don't have that problem, but if I did, I think I would have a scooter just for winter use, and save the nice one for when there is no salt on the roads. I know of a couple of people that have a second beater car just for that purpose, while the nice car sits in the garage all winter.