Although i appreciate what the OriginalGriff has already replied :) ,
i am still replying as MFC can be a bit challenging for beginners, but i am not going to paste the code here. Rather just give you some pointers and you will have to explore further.
I gather that this exercise teaches you :
1). Creating a dialog based mfc app
2). Implementing the right-click context menu option
For 1 there is an article on Code Project A Beginners Guide to Dialog Based Applications - Part One
which serves as good tutorial but the code is meant for VC++6. So for a more recent VisualStudio edition you can look up the MSDN
As for the right click context menu part take a look at the answers to this question
For getting the windows fileopen dialog explore the CFileDialog class
By the way, searching the solution for your problems yourself is also a crucial skill so Google is your friend. Try searching on Google for your queries first because mostly somebody somewhere might have already faced and fixed the same problem.
hope this helps !!