You need boost/filesystem library for this! It's not included in depedencys of Ogre packet.

//Create new dialog:
m_pFileDialog = new FileSelectionDialog;
m_pFileDialog->setDialogTitle("Save file");
m_pFileDialog->setButtonCaption("Save");
m_pFileDialog->addFileExtension(".h");
m_pFileDialog->addFileExtension(".cpp");


//Add youd own callback function:
boost::function<void(Dialog*, const std::string&)> my_callback = boost::bind(&My_Class::myFileSelectedCallBack, this, _1, _2);
m_pFileDialog->eventEndDialog(my_callback);


//Your callback must be something like that:
//void myFileSelectedCallBack(FileSelectionDialog* dialog, const std::string& path){...Do what you want...};


//How to pop it up:
m_pFileDialog->update();
m_pFileDialog->setVisible(true);


//After all don't foget delete it:
delete m_pFileDialog;

<?xml version="1.0" encoding="UTF-8"?>
<MyGUI type="Layout" version="3.2.0">
    <Widget type="Window" skin="WindowCSX" position="40 44 505 351" layer="Main" name="DialogWindow">
        <Widget type="ListBox" skin="ListBox" position="5 35 485 246" align="Stretch" name="List"/>
        <Widget type="ComboBox" skin="ComboBox" position="5 3 485 30" align="HStretch Top" name="Recent"/>
        <Widget type="Button" skin="Button" position="400 285 90 26" align="Right Bottom" name="Confirm"/>
        <Widget type="EditBox" skin="EditBox" position="5 285 285 26" align="HStretch Bottom" name="Edit"/>
        <Widget type="ComboBox" skin="ComboBox" position="300 285 95 26" align="Right Bottom" name="Extension"/>
    </Widget>
</MyGUI>

#ifndef DIALOG_H
#define DIALOG_H

#include <boost\filesystem.hpp>
#include <boost\function.hpp>
#include <MyGUI.h>

class FileSelectionDialog
{
public:
   FileSelectionDialog(const std::string& name);

   const std::string& getName();

   void update();
   void setVisible(bool set);
   void setDialogTitle(const std::string& title);
   void setButtonCaption(const std::string& caption);
   void addFileExtension(const std::string& ext);
   void setDefaultExtension(int index);
   void setUserString(const std::string& value);
   void buildGUI();
   const std::string& getUserString();
   void eventEndDialog(boost::function<void(FileSelectionDialog*, const std::string&)> method);

private:
   void windowCloseCallback(MyGUI::Window* _sender, const std::string& _name);
   void itemAcceptedCallback(MyGUI::ListBox* _sender, size_t _index);
   void itemSelectedCallback(MyGUI::ListBox* _sender, size_t _index);
   void recentPathSelectedCallback(MyGUI::ComboBox* _sender, size_t _index);
   void endDialogCallback(MyGUI::Widget* _sender);
   void windowResizeCallback(MyGUI::Widget* _sender, const std::string& _key, const std::string& _value);
   void extensionChangeCallback(MyGUI::ComboBox* _sender, size_t _index);
   

   void updatePathList(boost::filesystem::path my_path);
   
   //static int nDialogs;
   //int mDialogIndex;
   //void (GUIManager::*mUserMethod)(const std::string&, const std::string&);

   std::string mName;
   std::string mUserString;

   // user callback
   boost::function<void(FileSelectionDialog*, const std::string&)> mUserMethod;

   // widgets
   MyGUI::Window* mWindow;
   MyGUI::List* mPathList;
   MyGUI::Edit* mFileEdit;
   MyGUI::Button* mButton;
   MyGUI::ComboBox* mRecentCombo;
   MyGUI::ComboBox* mExtensionCombo;

   boost::filesystem::path mCurrentPath;   // current viewed directory
   std::vector<boost::filesystem::path> mPath_set;      // list of paths in the viewed directory
   boost::filesystem::path* mSelectedFile;
   std::vector<boost::filesystem::path> mRecentPaths;
};

#endif   // DIALOG_H

#include "FileSelectionDialog.h"
using namespace boost::filesystem;

//int Dialog::nDialogs = 0;

FileSelectionDialog::FileSelectionDialog(const std::string& name) :
   mName(name),
   mWindow(0),
   mPathList(0),
   mFileEdit(0),
   mButton(0),
   mRecentCombo(0),
   mExtensionCombo(0),
   mSelectedFile(0),
   mUserMethod(0)
{
   buildGUI();
}

//==========================================================================
// Useful after after deleted all widgets from scene
//==========================================================================
void FileSelectionDialog::buildGUI(){
   // load dialog layout
   MyGUI::VectorWidgetPtr widgets = MyGUI::LayoutManager::getInstance().loadLayout("FileDialog.layout");

   mWindow = (MyGUI::Window*)*widgets.begin();
   mWindow->eventWindowButtonPressed += MyGUI::newDelegate(this, &FileSelectionDialog::windowCloseCallback);
   mWindow->setVisible(false);

   mPathList = (MyGUI::List*)mWindow->findWidget("List");
   mPathList->eventListSelectAccept += MyGUI::newDelegate(this, &FileSelectionDialog::itemAcceptedCallback);
   mPathList->eventListChangePosition += MyGUI::newDelegate(this, &FileSelectionDialog::itemSelectedCallback);

   mFileEdit = (MyGUI::Edit*)mWindow->findWidget("Edit");

   mButton = (MyGUI::Button*)mWindow->findWidget("Confirm");
   mButton->eventMouseButtonClick += MyGUI::newDelegate(this, &FileSelectionDialog::endDialogCallback);

   mRecentCombo = (MyGUI::ComboBox*)mWindow->findWidget("Recent");
   mRecentCombo->eventComboChangePosition += MyGUI::newDelegate(this, &FileSelectionDialog::recentPathSelectedCallback);

   mExtensionCombo = (MyGUI::ComboBox*)mWindow->findWidget("Extension");
   mExtensionCombo->eventComboChangePosition += MyGUI::newDelegate(this, &FileSelectionDialog::extensionChangeCallback);
   mExtensionCombo->addItem("All files \".\"");
   mExtensionCombo->setIndexSelected(0);
}


//==========================================================================
// User closed Dialog window
//==========================================================================
void FileSelectionDialog::windowCloseCallback(MyGUI::Window* _sender, const std::string& _name)
{
   mWindow->setVisible(false);
}

//==========================================================================
// User selected a path (double-clicked)
//==========================================================================
void FileSelectionDialog::itemAcceptedCallback(MyGUI::ListBox* _sender, size_t _index)
{
   if (_index == 0) // user clicked on the "[...]", so back up a directory
   {
      updatePathList(mCurrentPath.parent_path().string());
   }

   // it's a folder, open it
   else if (is_directory(mPath_set[_index-1]))
   {
      updatePathList(mPath_set[_index-1]);
   }

   // it's a file, notify user and quit
   else
   {
      endDialogCallback(0);
   }
}

//==========================================================================
// User selected a path (single click)
//==========================================================================
void FileSelectionDialog::itemSelectedCallback(MyGUI::ListBox* _sender, size_t _index)
{
   //TODO fix bug?: if in filelist, file / folder selected and then click to list box to empty line, calls this with _index = int.max(?)
   if (_index > mPath_set.size())
      return;

   // make sure it's a file
   if (_index != 0 && !is_directory(mPath_set[_index-1]))
   {
      // mark as selected
      mSelectedFile = &mPath_set[_index-1];
      mFileEdit->setCaption(mPathList->getItemNameAt(_index));
   }
}

//==========================================================================
// User re-opened a recently visited folder
//==========================================================================
void FileSelectionDialog::recentPathSelectedCallback(MyGUI::ComboBox* _sender, size_t _index)
{
   updatePathList(mRecentPaths[_index].parent_path());
}

//==========================================================================
// Dialog's closed
//==========================================================================
void FileSelectionDialog::endDialogCallback(MyGUI::Widget* _sender)
{
   // last minute fix  --forgot to account for the user entering the filename himself
   // Note that since the Dialog has no idea if the user should be creating a new file, it doesn't check if the
   // file exists or not. That's your job.
   
   std::string filename = mFileEdit->getCaption();

   // make sure it has an extension
   if (mExtensionCombo->getIndexSelected() != 0)
   {
      std::string extension = mExtensionCombo->getCaption();
      if (filename.length() > extension.length())
      {
         if(filename.compare(filename.length() - extension.length(), extension.length(), extension))
            filename.append(extension);
      }  
      else
         filename.append(extension);
   }

   mSelectedFile = new path(mPath_set[0].parent_path().append(filename.begin(), filename.end()));
   //--

   if (mSelectedFile)
   {
      // notify user of selected file (empty string if none)
      if (mUserMethod)
      {
         mUserMethod(this, mSelectedFile->string());
      }

      // update recently visited paths
      bool newEntry = true;
      for (size_t i = 0; i < mRecentPaths.size(); i++)
      {
         if (*mSelectedFile == mRecentPaths[i])
         {
            newEntry = false;
            break;
         }
      }

      if (newEntry)
      {
         mRecentPaths.push_back(*mSelectedFile);
         mRecentCombo->addItem(mSelectedFile->parent_path().string());
      }

      // close dialog
      mWindow->setVisible(false);
   }

   // follow up of the fix
   delete mSelectedFile;
   mSelectedFile = 0;
}

//==========================================================================
// called when a new extension is set
//==========================================================================
void FileSelectionDialog::extensionChangeCallback(MyGUI::ComboBox* _sender, size_t _index)
{
   update();
}

//==========================================================================
// Set callback for when a file is selected
//==========================================================================
void FileSelectionDialog::eventEndDialog(boost::function<void(FileSelectionDialog*, const std::string&)> method)
{
   mUserMethod = method;
}

//==========================================================================
// get dialog name
//==========================================================================
const std::string& FileSelectionDialog::getName()
{
   return mName;
}

//==========================================================================
// Must be called once dialog is initialized with the functions below
//==========================================================================
void FileSelectionDialog::update()
{
   updatePathList(current_path());
}

//==========================================================================
// show/hide dialog
//==========================================================================
void FileSelectionDialog::setVisible(bool set)
{
   mWindow->setVisible(set);
}

//==========================================================================
// set dialog window title
//==========================================================================
void FileSelectionDialog::setDialogTitle(const std::string& title)
{
   mWindow->setCaption(title);
}

//==========================================================================
// set button caption (ie: save, load, save as..)
//==========================================================================
void FileSelectionDialog::setButtonCaption(const std::string& caption)
{
   mButton->setCaption(caption);
}

//==========================================================================
// Attaches a string to this dialog that can be retrieved later.
// Handy for using the same Dialog for different things
//==========================================================================
void FileSelectionDialog::setUserString(const std::string& value)
{
   mUserString = value;
}
   
//==========================================================================
// Return user string
//==========================================================================
const std::string& FileSelectionDialog::getUserString()
{
   return mUserString;
}

//==========================================================================
// Add an extension to the extension combobox
//==========================================================================
void FileSelectionDialog::addFileExtension(const std::string& ext)
{
   mExtensionCombo->addItem(ext);
   mExtensionCombo->setIndexSelected(0);   // MyGUI appears to reset 
                                 // the selected item to ITEM_NONE
                                 // whenever a new item is added
}

//==========================================================================
// If this isn't called, the default is show all files.
//==========================================================================
void FileSelectionDialog::setDefaultExtension(int index)
{
   mExtensionCombo->setIndexSelected(index + 1);
}

//==========================================================================
// Sort paths alphabetically (folders first, files last)
//==========================================================================
bool sortFunction(boost::filesystem::path p1, boost::filesystem::path p2)
{
   bool d1 = is_directory(p1);
   bool d2 = is_directory(p2);

   if (d1 && d2)
      return (p1.filename() < p2.filename());
   else if (d1)
      return true;
   else if (d2)
      return false;
   else
      return (p1.filename() < p2.filename());
}

//==========================================================================
// Update the paths in the dialog
// my_path; parent directory
// Note: this function is slow. Mainly because i'm lazy.
//==========================================================================
void FileSelectionDialog::updatePathList(path my_path)
{
   mCurrentPath = my_path;

   mPathList->removeAllItems();
   mPath_set.clear();

   mPathList->addItem("[...]");

   std::vector<path> temp_paths;

   try
   {
      copy(directory_iterator(mCurrentPath), directory_iterator(), back_inserter(temp_paths));
   }

   catch(const filesystem_error& ex)
   {
      // the user probably backed up too far. Jackass.
      mCurrentPath = current_path().parent_path();
      copy(directory_iterator(mCurrentPath), directory_iterator(), back_inserter(temp_paths));
   }

   // some shitty OSs don't sort paths..
   sort(temp_paths.begin(), temp_paths.end(), sortFunction);

   // extension
   std::string ext = mExtensionCombo->getItem(mExtensionCombo->getIndexSelected());

   for (size_t i = 0; i < temp_paths.size(); i++)
   {
      // folder
      if (is_directory(temp_paths[i]))
      {
         mPath_set.push_back(temp_paths[i]);
       mPathList->addItem(MyGUI::UString("[") + MyGUI::UString(temp_paths[i].filename().c_str()) + ']');
      }

      // file
      else
      {
         // filter to extension (if any)
         if (mExtensionCombo->getIndexSelected() != 0)
         {
            if (temp_paths[i].extension() == ext)
            {
            MyGUI::UString path = temp_paths[i].filename().c_str();
               mPathList->addItem(path);
               mPath_set.push_back(temp_paths[i]);
            }
         }

         else
         {
         MyGUI::UString path = temp_paths[i].filename().c_str();
            mPathList->addItem(path);
            mPath_set.push_back(temp_paths[i]);
         }
      }
   }
}