Apparently the ActiveX controls have a lot of new limitations for security reasons in Access 2010.
To work around this, I dimenioned the control directly in the code as follows:
Dim f As FileDialog
Set f = Application.FileDialog(msoFileDialogFilePicker)
MsgBox "file choose was " & f.SelectedItems(1)
When doing this, make sure to add "Microsoft Office 14.0 Object Library" to the references.