Поместите кнопку в форму, обработайте событие click и используйте FolderBrowserDialog .
Private Sub Button1_Click(ByVal sender As Object, ByVal e As EventArgs) Handles Button1.Click
Using fld As New FolderBrowserDialog()
If fld.ShowDialog() = Windows.Forms.DialogResult.OK Then
MessageBox.Show("Selected " & fld.SelectedPath)
End If
End Using
End Sub
Для выбора файла используйте класс OpenFileDialog :
Private Sub Button1_Click(ByVal sender As Object, ByVal e As EventArgs) Handles
Using ofd As New OpenFileDialog()
If ofd.ShowDialog() = DialogResult.OK Then
MessageBox.Show("Selected " + ofd.FileName)
End If
End Using
End Sub