My settings are also same (it was not that, there was conflict and just after I resolved - it worked).
Well, I do NOT:
* Have Win2003 Platform SDK (I have the latest, but not W3K)
* Inherit CFileDialog class

Further, I used 0x500 as version. I think you should use 0x501 (as Win2003/XP is >=0x501).
I used "88" directly.