If the widgets and folders are part of a public area that users do not need to log into and if the menu item in question is a sub-level item, i.e. appears on level 2 or below, then you can just set that folder to be hidden.
To set a folder to hidden, go into Admin -> Publishing -> Folders, find the relevant folder in the folder tree, right click on that folder and choose "Set Hidden".
This will hide the folder from appearing as a sub-level item within the menu but if this folder is referenced in a dynamic widget then the contents of that folder will still appear within the widget.
The only thing to be aware of is if you then add that folder to be a top level menu item, i.e. a level 1 item. Despite the fact that the folder is set to hidden it will still show on the menu. That is a bit contradictive though - if you don't want the folder to be a level 1 item on the menu then there is no need to add it to the menu in the first place.
If however the widgets and folders are part of a private area, i.e. the folders have to be set to private so only users that have a login can access the content then you need to use a different approach to hide the sub-level folder from appear on the menu as you will not be able to directly utilise the hidden attribute.
Here are a couple of things you could try:
1. Move the required folder (the one being referenced by the widget) from being a sub-level folder to be a main level folder under base
2. Move the required folder down to a sub-level such as 4 or 5 folders deep and set the menu to only display up to level 3 or level 4, i.e display up to but not including the level that the widget folder is on
3. Create a dummy folder that is set to hidden and move the widget folder to sit inside that folder. Because its parent folder is now hidden it should not show on the menu.