Jens,
The thread which calls the dialog box must be apartment threaded. Since LabVIEW threads are initialized for a different thread model, a LabVIEW thread cannot directly call an MFC dialog. You would need to create a temporary thread, initialize it correctly, and then call the dialog box from this temporary thread. The original thread waits on the temporary thread to finish and then returns back to LabVIEW.
Randy Hoskin
Applications Engineer
National Instruments
http://www.ni.com/ask