The MFC DLL project wizards for Visual C++ assume you don't want a user interface so they don't give you this option. You would just add a dialog to the project after you leave the wizard, just like you normally would in VC++.
1) Go to Resource View and right click on Resources and select Insert... then Dialog. That will add a dialog resource for you to use.
2) Then go to class wizard and generate a class for that dialog.
3) Then you just need to write the code to create a dialog object of that class and run it as a modal window in the function from which you want to launch the dialog. For example,
CTestDialog dlg;
int nResponse = dlg.DoModal();
Best Regards,
Chris Matthews
National Instruments