Common Dialog Boxes

I had created an application based on WIN API. Now I am trying to use some Common Dialog Boxes like Browse, Open, Print and Font. I had checked MSDN and found some SDK sample codes but I was not able to embed them in my project. I feel I have not understood the main idea or using windows common dialog boxes.
What I had understood is that I will call the API that Windows is currently using to call the Open dialog box for example.
Please correct me and provide me with some links to have things get clearer.

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