Unfortunately Visual SourceSafe does not know the concept of controlled sub-directories like other VCS tools such as PVCS and MKS. The screenshot from the documentation is from MKS. Visual SourceSafe uses sub-projects instead, but oddly enough this concept is not encapsulated in Microsoft's own SCC standard, which PL/SQL Developer uses as a common interface to all VCS systems.
As a result, you explicitly need to open a sub-project in order to access its files, which may be cumbersome if you have a lot of sub-projects