Open file dialog

While that example most likely will work fine, it requires .NET and the question was about C++.
If you wouldn't want to use .NET, you could use something like this:

BOOL GetFileName(char *filename,int maxlen)
{	OPENFILENAME ofn = {0};

	ofn.lStructSize  = sizeof(ofn);
	ofn.Flags        = OFN_EXPLORER | OFN_PATHMUSTEXIST | OFN_FILEMUSTEXIST;
	ofn.hInstance    = GetModuleHandle(0);
	ofn.lpstrFile    = filename;
	ofn.nMaxFile     = maxlen;
	ofn.nFilterIndex = 1;
	ofn.lpstrFilter	 = "Any file\0*.*\0\0";
	ofn.lpstrDefExt	 = "*";
	return GetOpenFileName(&ofn);
}

char filename[MAX_PATH];
if(!GetFileName(filename,MAX_PATH))
	MessageBox(0,"Canceled by user."," ",0);
else{
	// Do what you want to do with your file
}

Now to extract the path from filename, you could for example use PathRemoveFileSpec[^].
If getting a directory is all you want to do, i.e. if you're not interested in the name of the file, you could also select a directory right away with SHBrowseForFolder[^].