You can load from sub-folders, as that's exactly what I do. I do this with sfx, gfx and data. Sub directories within the Media directory work as expected.
Are you sure that the main directory is set to Media -
SETCURRENTDIR ("Media")
and then are you using LOADSOUND "sfx/stuff.wav",value,repeat
? If not, make sure that it is.
And GLBasic uses "/" not "\"