Gorka,
Sounds to me like you need to write a VI with User Interface to handle this instead. The added benefit of doing this is that you have something that is platform independent. I know that doesn't sound like such a great thing these days, but soon, I expect that platform independence will become very important. Also, creating your solution in LabVIEW without WIN API, gives you more programming experience.
Good luck, and let us know what you do. I would be very intereseted in a multiple file selection control in LabVIEW.