The dialogs for browsing files/folders are standard Windows dialogs, and as such, they have limitations: you can't select folders with the 'browse for file' dialog, you can't select more than one folder with the 'browse for folder' dialog, etc.
Try this: use Windows Explorer/My Computer to select the files and folders you want on your disc, then drag and drop the selection into ImgBurn's Source area (click the green arrow to make the area bigger if you want) and the files/folders you've selected will be added to the Source list. You can also enable the Drop Zone (look in View menu) and drag and drop the selection there for adding those to the Source list