Looking at the common file dialog classes in .NET, it doesn't look like you can add controls to the dialogs. What you are looking for is the 'Customizing Common Dialog Boxes' section on the MSDN. In there, it'll show you how to add custom templates and controls to the common dialogs. To be honest, it's much easier to do custom common dialogs in native C++. If you have Visual Studio .NET Professional or higher, you've got the compiler.
This was first published in June 2003