I am not seeing "wxFileDialog" on the completion popup in CB, so I am not sure but I do not believe it is working for me. I saw the information linked by Commaster, but again, it does not appear to show up in the auto-complete list so I assumed it wasn't working and I was messing up. Will try regardless this afternoon. Thank you both!
*UPDATE*
I had a typo in the header and it was not including the wx/filedlg.h header. So it WAS me! Thanks for the help, I got it from here.