In Metastock, you can provide securites from multiple folders when it asks for "Select Securities for .... " by clicking on add securities. Once you have collected securities from multiple folders, before clicking on OK button to run explorer, take a moment and Click on
"Save.." button and store this list of securities in a new folder.
From next time onward, you can pick up all securities from this new folder directly, without going to multiple folders.
Hope this helps..
Happy Trading.