C / C++ / MFC

char szFN[256];
memset (szFN, 0, sizeof(szFN));

CFileDialog dlg (TRUE);

dlg.m_ofn.lpstrFilter = "Text Files (*.txt)\0*.txt;*.lst\0All Files (*.*)\0*.*\0";
dlg.m_ofn.lpstrTitle = _T("Open Text Files");
dlg.m_ofn.lpstrFile = szFN;
dlg.m_ofn.nMaxFile = sizeof(szFN);
dlg.m_ofn.Flags = OFN_OVERWRITEPROMPT | OFN_ALLOWMULTISELECT | OFN_ENABLEHOOK;

if (dlg.DoModal() == IDOK) {
}

//From Dlgfile.cpp from MFC source code;
// Daaa. Since I use Debug version, I need OFN_ENALBEHOOK?
int CFileDialog::DoModal()
{
	ASSERT_VALID(this);
        // Ooops, do we need OFN_ENALBEHOOK flags?
	ASSERT(m_ofn.Flags & OFN_ENABLEHOOK);
	ASSERT(m_ofn.lpfnHook != NULL); // can still be a user hook

	// zero out the file buffer for consistent parsing later
	ASSERT(AfxIsValidAddress(m_ofn.lpstrFile, m_ofn.nMaxFile));
	DWORD nOffset = lstrlen(m_ofn.lpstrFile)+1;
	ASSERT(nOffset <= m_ofn.nMaxFile);
	memset(m_ofn.lpstrFile+nOffset, 0, (m_ofn.nMaxFile-nOffset)*sizeof(TCHAR));
..............
}

LRESULT CMyDlg::WindowProc(UINT message, WPARAM wParam, LPARAM lParam) 
{
	// TODO: Add your specialized code here and/or call the base class
	if (message == WM_CLOSE)
		// do something;
                // not call the parent of WindowProc
	
	return CDialog::WindowProc(message, wParam, lParam);
}