When you verify that you own a domain (such as example.com using DNS verification, you've proven that you have control of the domain, all its subdomains, and all sites in those subdomains.
Similarly, if you have verified http://www.example.com (using any verification method), and then add http://www.example.com/test, you will be automatically verified as an owner of http://www.example.com/test. You'll remain a verified owner of the subdirectory even if you later delete http://www.example.com from your Webmaster Tools account.