I wrote about it on my blog a long time ago, WPF's support for common file dialogs is really bad (or at least is was in 3.5 I didn't check in version 4) - but it's easy to work around it.
You need to add the correct manifest to your application - that will give you a modern style message boxes and folder browser (WinForms FolderBrowserDialog) but not WPF file open/save dialogs, this is described in those 3 posts (if you don't care about the explanation and only want the solution go directly to the 3rd):
Fortunately, the open/save dialogs are very thin wrappers around the Win32 API that is easy to call with the right flags to get the Vista/7 style (after setting the manifest)