To follow up from a recent enquiry on the newsgroup, neither .NETCF v1.0 or v2.0 include the FolderBrowserDialog component. The main reason for this is that this functionality is not implemented in all flavours of Windows CE, for example Windows Mobile (Pocket PC / Smartphone) doesn’t include support for this dialog. If your device does support this shell feature then here is a simple wrapper I wrote which wraps the SHBrowseForFolder API in a FolderBrowserDialog class, which mimics the desktop equivelent. The code is packaged with a quick three line demonstration using the dialog. This works on the CE.NET 4.1 Emulator shipped with Visual Studio 2003.
If your platform is unsupported the control will throw a PlatformNotSupportedException when you call ShowDialog(). If you want to create this kind of functionality on Windows Mobile then a good starting point is the code accompanying this article at MSDN.