2 guesses. If these don't work, please supply more info.
(a) If the control is not your toolbox:
Open the Project / Components menu, tick the MS Common Dialog Control option in the list, click the "Apply" button. The Common Dialog control will then appear in you tool bar and you can add it to the form.
(b) If the form is an MDI form:
The only control you can put directly on an MDI form is a picture box. But then you can put other controls on the picture box.