configuring subtitle files and DirectVobSub

ok so when i go into the options it asks me to select a file (i assume where to look for subtitles) but the subtitles i need are all in different files for each episode..

to clarify, the subtitles i'm configuring are for the language Dothraki from Game of Thrones

how do i put all these subtitles into the same file so it will read the correct lines when the relevant episode is playing? or alternatively, how do i configure it to change which file to read when the relevant episode is playing?