how to make "choose file" function on windows programming?

I need this us all known "choose file"开发者_运维问答 feature in my program, so i can load files.

What is this thing called as and where is the code for it?

What you are referring to are the "common dialogs", and you can get a file open dialog with GetOpenFileName

BOOL GetOpenFileName(      
    LPOPENFILENAME lpofn
);

A sample is available here

With plain Win32 API you need to use the GetOpenFileName function, documented here. An example of its usage is available here.

I'm assuming you want to know about the built-in Windows dialog for choosing/opening a file.

If you're doing managed code, see OpenFileDialog.

If you're doing MFC, see CFileDialog.