Which platform do you use ?
Does the Symbolic Link is allowed ?
Did you deployed the slave site into a specific directory or just let the field empty ?
Did you specify something the the images folder paramter in addition of the action "copy" ?
If Symbolic Link is allowed the procedure to have a specific directory is explained in tutorial video CP-05.
www.jms2win.com/tutorial#jms12x-CP-05
I summary:
- Domain name = {site_url}/multisites/{site_id}
www.{site_id}.com
{site_id}.com
- Select a template website to replicate
- Define a new table prefix
- Deploy folder = {site_dir}
- Image folder = empty
- Image action = copy