Comdlg32.ocx can be found in the following posts along with some instructions on some options for using it:
http://forum.shrapnelgames.com/showp...&postcount=115
http://forum.shrapnelgames.com/showp...&postcount=117
If you receive any other errors about missing controls, you might check out the following posts:
http://forum.shrapnelgames.com/showp...&postcount=148
http://forum.shrapnelgames.com/showp...&postcount=153
Those items seem to have solved most problems with missing controls. Is your operating system Vista by chance?
Anyhow, let me know if you still have problems.