It depends on what kind of application do you develop. Perhaps you use Qt and then you should use QFileDialog for that purpose: http://doc.qt.nokia.com/4.7-snapshot/qfiledialog.html . If you make a WinAPI software - use the file dialog provided by WinAPI. If you work in Linux - then, well, certainly this functionality is already implemented - just search for it.
To be honest, I don't remember - it's been a while since I used WinAPI directly. But as far as I remember MessageBox did work, so I assume this one will too - your program doesn't need to process any windows messages itself. Just try it out :)