There are some project settings you have to set up before you can use .Net.  
If you created a new .Net project this is all done for you.  If not, read on.

First you have to make sure you have the project set to use managed
extensions.  This is in the General category in the project properties
dialog.  After that you need to make sure you have a reference to the
assembly you need.  Right click on the project name in solution explorer and
select Add Reference.  This will bring up a dialog.  Find the
System.Windows.Forms assembly and add it.

Now, in your source code you want to use the namespace, so near the top put
this:
using namespace System::Windows::Forms;

Now you should be all set to do the example found on MSDN
http://msdn.microsoft.com/library/en-us/cpref/html/frlrfsystemwindowsformssavefi
ledialogclasstopic.asp

As an alternative to the adding a reference thing you can use the following
line with your include files:
#using <System.Windows.Forms.dll>