Drag a button from the toolbox onto the new dialog resource. Double click the button, and add the MessageBox call. Then build and run.

 

Drag a button from the toolbox onto the new dialog resource. Double click the button, and add the MessageBox call. Then build and run.

When click on finish button I get below setup



I see I don't get Dialog folder as seen in your screenshot

 

Open Resource View and open the application dialog.