Creating a DSF containing only a subset of markers can be done rather easily if you have applied a marker map to your spreadsheet.
Note: The types of subsets you can create depend on the information contained within your marker map. For instance, if your marker map only contains chromosome and physical position, then you can only create a subset for each chromosome. If your marker map contains gene information, you can create a subset of all SNPs in a given gene or group of genes in addition to chromosomes.
To apply a marker map, from your spreadsheet containing SNPs or CNVs, go to >File >Apply Gene Marker Map and choose the appropriate marker map to apply. Once the marker map is applied you can choose a subset of SNPs to analyze.
To choose a subset, from the marker mapped spreadsheet, go to >Edit >Column >Select columns by chromosome/region range.
This will bring up the following window: (This screenshot was created from a small simulated data set and only contains a couple genes and chromosomes.)
From this window you can select the SNPs or group of SNPs you want to subset. If you're interested in a particular gene, you can left click the "Gene" column header to sort it and then scroll down to that gene. You can select multiple rows by using the Shift-Click or Control-Click function (for Windows users).
In the window above, gene 6 (g6) is selected. When I press OK I get the following dialog informing me how many markers were activated and inactivated based on my select criteria. In this case, Gene 6 has 30 markers in it. 
Pressing OK will produce a new spreadhseet with only the markers on gene 6 activated. From this spreadsheet select >Edit >Column >Subset spreadsheet. 
This will produce a new spreadsheet with only Gene 6 markers. You can now create a DSF from this subset spreadsheet by selecting >File Save as DSF File.