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Código completo.
Tempos atrás eu tinha postado um código mais enxuto que usava no Word, este está completo com todas as opções.

Original em: https://msdn.microsoft.com/pt-br/library/office/ff196794.aspx


;-)

Private Sub cmdFileDialog_Click() 
  
   ' Requires reference to Microsoft Office 11.0 Object Library. 
 
   Dim fDialog As Office.FileDialog 
   Dim varFile As Variant 
 
   ' Clear listbox contents. 
   Me.FileList.RowSource = "" 
 
   ' Set up the File Dialog. 
   Set fDialog = Application.FileDialog(msoFileDialogFilePicker) 
 
   With fDialog 
 
      ' Allow user to make multiple selections in dialog box 
      .AllowMultiSelect = True 
             
      ' Set the title of the dialog box. 
      .Title = "Please select one or more files" 
 
      ' Clear out the current filters, and add our own. 
      .Filters.Clear 
      .Filters.Add "Access Databases", "*.MDB" 
      .Filters.Add "Access Projects", "*.ADP" 
      .Filters.Add "All Files", "*.*" 
 
      ' Show the dialog box. If the .Show method returns True, the 
      ' user picked at least one file. If the .Show method returns 
      ' False, the user clicked Cancel. 
      If .Show = True Then 
 
         'Loop through each file selected and add it to our list box. 
         For Each varFile In .SelectedItems 
            Me.FileList.AddItem varFile 
         Next 
 
      Else 
         MsgBox "You clicked Cancel in the file dialog box." 
      End If 
   End With 
End Sub