There are two ways that I found to this but I found the second one better for readability.
1. Test Run Configuration file
2. DeploymentItemAttribute
I am interesting in the “DeploymentItemAttribute” because its more readable gives flexibility to add either on the Test Class level so that more than 1 test can get the files
or at Test Method level.
I have a solution contains multiple project one of the project requires xsds to be there with the assembly. So
1. select the all the files scattered in multiple folders

2. Press F4 to view properties and select Copy to Output Directory to “Copy Always” | “Copy if newer”

3. goto the MSTest project Test Method and add the DeploymentItemAttribute
[TestMethod]
[DeploymentItem(@"TestProject\Schemas", "Schemas")]
public void TestSchemaPath()
{
}
Where "TestProject" is the project included in the solution where MsTest project exist , "Schemas" is the folder needed to be created in the test run folder .
if we don’t specify the second parameter the Schemas to the DeploymentItem then the "Schemas" folder will not be created only Common & PreAward folder will be there.