CFileDialog中有这个参数lpszFileName,指定它就可以了

explicit   CFileDialog(   
BOOL bOpenFileDialog,
LPCTSTR lpszDefExt = NULL,
LPCTSTR lpszFileName = NULL, //指定这个就行了
DWORD dwFlags = OFN_HIDEREADONLY | OFN_OVERWRITEPROMPT,
LPCTSTR lpszFilter = NULL,
CWnd* pParentWnd = NULL,
DWORD dwSize = sizeof(
OPENFILENAME )
);
CFileDialog dlgFile(TRUE, NULL, "指定的目录", OFN_HIDEREADONLY, _T("(*.pfx;)|*.pfx;||"), NULL);
if (dlgFile.DoModal())
{
...
}