Creating the doxygen documentation for all files in a directory is simple. All you need is a configuration file which doxygen can generate for you. So starting from scratch you do:

$ cd your/dir/of/choice
$ doxygen -g             # generating a configfile called 'Doxyfile'
$ doxygen                # running doxygen over all files using 'Doxyfile'.
                         # this should create subdirectories 'html' and 'latex'

in every future iteration you will then only need to run:

$ doxygen