When you invoke the 'Explore Folder' feature, dotPeek scans the specified folder recursively (including sub-directories) and adds all assemblies that is finds to its Assembly Explorer window. This is expected behavior.
Consider that you want to browse Visual Studio assemblies looking for VS API. In this case, you can choose to explore folder "C:\Program Files (x86)\Microsoft Visual Studio 10.0" folder and have all VS assemblies that it contains loaded in dotPeek.
Note: Of course, adding and scanning folders can take a long time if a large amount of assemblies is located in a folder that you specify. For example, you wouldn't really want to explore 'C:\' root folder as this would make dotPeek scan all folders on your logical disk and add them to the Assembly Explorer.