I think you would have to use the approach described at

http://word.mvps.org/FAQs/MacrosVBA/WordDlgHelp.htm

with the dialog boxes named

wdDialogMailMergeOpenHeaderSource

and

wdDialogMailMergeOpenDataSource

However, if you want to extract the name that the user selected in the
dialog, rather than simply executing the dialog, be careful because the name
returned my just contain the file name and not the full pathname of the
file.

Peter Jamieson