how to make "choose file" function on windows programming?

I need this us all known "choose file"开发者_运维问答 feature in my program, so i can load files.

What is this thing called as and where is the code for it?

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What you are referring to are the "common dialogs", and you can get a file open dialog with GetOpenFileName

BOOL GetOpenFileName(      
    LPOPENFILENAME lpofn
);

A sample is available here

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With plain Win32 API you need to use the GetOpenFileName function, documented here. An example of its usage is available here.

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I'm assuming you want to know about the built-in Windows dialog for choosing/opening a file.

If you're doing managed code, see OpenFileDialog.

If you're doing MFC, see CFileDialog.