Well .. this is actually more an application-like question than a SQLyog (or MySQL) question, I think. No client does such thing directly and the MySQL server does not either.
Also the MySQL server does not have functionalities to access to the files system except for writing its own logs etc..
What option I see is to execute (dependng on the OS) system commands like “dir” or “ls” parse the output, create a CSV file and import the CSV file to MySQL. But most Unix/Linux users would probable write a small Perl, Python or similar script that both parses the output from “ls” command and inserts to MySQL (and thus avoiding an intermediate CSV file). In either case it will involve a little traditional programming.
And for clarity: you are welcome to ask such questions here, but we at Webyog do not help with users' application programming. And I don't think you should expect much help in this respect from other users here either.