CString strPath;
//CFileDialog hFileDlg(TRUE, NULL, NULL, OFN_FILEMUSTEXIST | OFN_PATHMUSTEXIST | OFN_READONLY,
//TEXT("执行文件 (*.exe)|*.exe|*.lnk|All Files (*.*)|*.*||"), NULL);
CFileDialog hFileDlg(TRUE, NULL, NULL, OFN_HIDEREADONLY | OFN_READONLY,
TEXT("lnk文件 (*.lnk)|*.lnk|执行文件 (*.exe)|*.exe|All Files (*.*)|*.*||"), NULL);
hFileDlg.m_ofn.nFilterIndex = 1;
hFileDlg.m_ofn.hwndOwner = m_hWnd;
hFileDlg.m_ofn.lStructSize = sizeof(OPENFILENAME);
hFileDlg.m_ofn.lpstrTitle = TEXT("打开执行文件...\0");

用你的代码试了，没问题的。