Recording SAPGUI and Windows file dialogs

Has anybody been successful in recording some Windows dialogs that can popup in the flow of a particular SAPGUI scenario, as uploading a local file into SAP or downloading data to the PC. There is a windows file selection dialog which is used to select a file and I just can't record what happens inside. Playing back the recorded scenario makes it block.

Thank you Christian. I'll have a look at these as soon as I can, but I believe that was not the primary request. I think that the solution described in the tech-note 686674 is perfect, but unfortunately, the solution consist in installing a new support package.  It consist in SAP_BASIS, release 60, from release 620 to 620. I'm not sure what can happen if the current release of the SAP_BASIS component is 700 - the note is a bit unclear on this. That is my primary question now...
Thanks in advance

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