If you want a GUI to tweak how Doxygen works you can use doxywizard and open the generate Doxyfile.
In order to make doxygen look into the subdirectories you can change in the Doxyfile this line
RECURSIVE =
with
RECURSIVE = YES
Edit: As bornruffians pointed out, Doxygen looks for the source files in the directories specified in the INPUT setting (always in the Doxyfile). So you can specify each directory in the INPUT tag by writing something like
INPUT = "src/CPP" "src/H"
and turn off the RECURSIVE tag. You can also put single files as values for the INPUT tag.