You can use Java Swing and Java AWT classes.
You can create a Java application which emulates a path prompt (Form, field, browse button, OK button) and then attach the class file into your agent (Edit Project option). You can create a Java class using any of the Java GUI editing tools available for download (NetBeans, Eclipse), just make sure you compile the file with Java version supported by Lotus Notes (1.3 for R6 and 1.4 for R7 ?).
Then you can from the agent call the public method of your class which shows the prompt.
Actually you can write the Java Swing code directly in the agent's code panel but it's much easier to use GUI editor to build the form using drag-and-drop.
Take a look at this example: http://java.sun.com/docs/books/tutorial/uiswing/components/filechooser.html
You can sligtly modify the FileChooserDemo.java file and use it in your agent. I've just tried it myself and it works in Notes 7. I could browse for files from a Java agent, the problem is that the agent finishes before any file is chosen. It must wait until the file selection is done, but that should be rather easy to fix.
If you can't fix the agent by yourself i can take a closer look at it, but I will be unable to do it until next week.
2 quick tips:
This line causes security error and I just commented it out:
In agent you can test the file chooser with:
FileChooserDemo fcd=new FileChooserDemo();