C'est un peu plus compliqué ... il faut passer par les api :
Je te file l'essentiel, je te laisse faire la fonction 
 
Private Type BROWSEINFO
  hOwner          As Long
  pidlRoot        As Long
  pszDisplayName  As String
  lpszTitle       As String
  ulFlags         As Long
  lpfn            As Long
  lParam          As Long
  iImage          As Long
End Type
Private Type SHITEMID
  cb      As Long
  abID    As Byte
End Type
 
Private Type ITEMIDLIST
  mkid    As SHITEMID
End Type
 
Public Type POINTAPI
    x As Long
    y As Long
End Type
Private Const BIF_RETURNONLYFSDIRS = &H1
 
Private Declare Function SHBrowseForFolder Lib "shell32.dll" Alias "SHBrowseForFolderA" (lpBrowseInfo As BROWSEINFO) As Long
Private Declare Function SHGetPathFromIDList Lib "shell32.dll" Alias "SHGetPathFromIDListA" (ByVal pidl As Long, ByVal pszPath As String) As Long