When you specify a path/folder in Source you are asking for its contents to be copied, not the location itself (bear in mind you might only specify a drive letter as Source - we cannot (and should not try to) re-create that drive-letter on the Destination). If you want to copy a Source (for example)
X:\Path\SubFolder1\SubFolder2\
to DVD, just specify the same final folder name in your Destination as
\SubFolder2\
And so on.
X:\Path\SubFolder1\SubFolder2\
to DVD, just specify the same final folder name in your Destination as
\SubFolder2\
And so on.