First of all, if you start with an exact sequence $A\to B\to C\to 0$ of left $R$-modules, then $M$ should be a right $R$-module, so that the tensor products $M\otimes A$, etc. are well defined.
Second, it happens that for the proof that I will explain, it is easier to consider the functor $M\otimes\underline{}$ which is applied to the exact sequence. Then we can use the isomorphism $M\otimes A\cong A\otimes M$ to prove the exactness of the sequence $A\otimes M\to B\otimes M\to C\otimes M\to 0$, in case that $A,B,C$ are right $R$-modules and $M$ is a left $R$-module.
I don“t know a direct proof of the proposition and I think it may be difficult. The proof I know uses indeed the natural isomorphism mentioned by @Frederik (I think that in his comment there is a misorder of the modules involved). With the notation used by @Klaus, the natural isomorphism that is convenient is $Hom(M\otimes A,Q)\cong Hom(A,Hom(M,Q))$, where $Q$ is an injective cogenerator right $R$-module (for example, the injective hull of the direct sum of a complete set of non-isomorphic simple modules). We can consider the functor $(\underline{})^*=Hom(\underline{},Q)$, so the latter natural isomorphism can be stated as $(M\otimes A)^*\cong Hom(A,M^*)$. This functor $(\underline{})^*$, which is contravariant, so that it reverses the direction of morphisms, has the following property:
For $R$-modules $K,N,L$, the sequence $K\to M\to N$ is exact if, and only if, the sequence $N^*\to M^*\to K^*$ is exact.
Therefore, the sequence $M\otimes A\to M\otimes B\to M\otimes C\to 0$ is exact if, and only if, $0\to (M\otimes C)^*\to (M\otimes B)^*\to (M\otimes A)^*$ is exact, if and only if, $0\to Hom(C,M^*)\to Hom(B,M^*)\to Hom(A,M^*)$ is exact.
But the contravariant functor $Hom(\underline{},M^*)$ is left exact, that is, if the sequence $A\to B\to C\to 0$ is exact, then the sequence $0\to Hom(C,M^*)\to Hom(B,M^*)\to Hom(A,M^*)$ is exact, and this is very much easier to prove directly, rather than the right exactness of the functor $M\otimes\underline{}$, which @Klaus was trying.