Use the Common Controls Dialog (CMDialog). It is a vbx file that must be loaded into you project (should be by default).
Also, you can use windows API to do the same if you do not want to use the vbx.
Here is an example I have used using the vbx:
On Error GoTo err_mnu_insert_file_click
'Confirm
mMsg = MsgBox("Before importing a file from other Word Processing software you must" & mNL & "save your document as an ASCII text file." & Chr(10) & Chr(10) & "Do you still wish to continue?", MB_YESNO + MB_ICONQUESTION + MB_DEFBUTTON2, "Import?"

If mMsg = IDNO Then
Exit Sub
End If
'Init Common Dialog to Get File
Dim mImportFile As String
MDIForm1!CMDialog1.DialogTitle = "Select ASCII Text File to Import"
MDIForm1!CMDialog1.Flags = OFN_FILEMUSTEXIST + OFN_HIDEREADONLY
MDIForm1!CMDialog1.Filename = "*.txt"
MDIForm1!CMDialog1.Filter = "All Files(*.*)|*.*|Text(*.txt)|*.txt"
MDIForm1!CMDialog1.FilterIndex = 2
MDIForm1!CMDialog1.CancelError = True
MDIForm1!CMDialog1.Action = 1
'Extract File Name and Path
mImportFile$ = MDIForm1!CMDialog1.Filename
'Validate
If mImportFile = "" Then
mMsg = MsgBox("Cannot Import because file not chosen.", MB_ICONINFORMATION, "Choose File"

Exit Sub
End If
'Confirm Chosen Import File
mMsg = MsgBox("Import: " & mImportFile, MB_YESNO + MB_ICONQUESTION + MB_DEFBUTTON2, "Import?"

If mMsg = IDNO Then
Exit Sub
End If
mHEStatus% = HELoadDoc(HighEdit1.hWnd, mImportFile$, FILEFORMAT_ANSI) 'FILEFORMAT_RTF
If mHEStatus = True Then ' Import Operation OK
mMsg = MsgBox("Import of file successful.", MB_ICONINFORMATION, "Import Status"

End If
Exit Sub
err_mnu_insert_file_click:
Select Case Err
Case 32755 ' Common Dlg CANCEL Error
Exit Sub
Case Else
mMsg = MsgBox(Error & mNL & "Error number: " & Str$(Err) & mNL & "Form: " & Me.Tag & mNL & "Sub: " & "mnu_insert_file_click", MB_ICONINFORMATION, "Internal Error"

Resume Next
End Select