Does anyone know how to set up items that should not be discounted when a sales order is discounted? Like if an item is considered as a service.

You can't really do this. To accomplish this you have to subtotal items apply discount to that subtotal and then add non discounted lines below the discount

@KevinJ of Kansas Thanks for replying, so we will add the discount as an item instead of selecting discounts on the whole sales order, right?

Right

I see. Appreciated the explanation!