What type of files are you talking about and do you want to present them on a web page or make them available for download?
You can build sub sites in iWeb and publish them within the same folder as your main site on .Mac just the same as you would on a server although this just makes life more complicated and is not necessary.
To make sub sites it is easier if you build them on separate domain files so that they load into iWeb and publish individually.
If you use the standard iWeb navigation menu you will have to provide links to these sub sites as a list so, to "incorporate" your sub sites into the main one, it is better to to build your own so that the links can be incorporated in the main site navigation.
These links would be in the menu like "SubsiteA" and, in the link inspector, they would be linked an external page which is the URL of the sub site eg
http://web.mac.com/username/SubsiteA/HomePage.html
Also make your own navigation in the sub sites and include a link back to the main site.
If you want to do this on a server other than .Mac, you publish the sub site to a folder and rename the index.html file to SubsiteA.html and upload it and the sub site folder to the main website folder.
Most commercial servers will also allow you quite a large number of sub domains beneath a main domain.
On my personal site
http://roddymckay.com
I have a "satellite" site which can be reached from
http://roddymckay.com/Satellite.html
In this case, the satellite is NOT connected to the main site so that it appears as a separate website.