The Browse option is only suggesting where it wants to look - you have open season on pointing it wherever you want it to find the files.
However, if I've missed the point, it's a matter of a copy and paste operation to put the files you want into the folder in which OE wants to find them.
I'm a bit out of date on OE but I believe the folders you created within it - sub-folders to store individual mails - are all part of the same folder in Windows so if you import that, you should find your own divisions within that import.