Home windows already consists of dialogs to select personal files or printer.

It is possible to built-in dialog to choose a database?

Ideally, it might work with databases apart from SQL server and would expose an association string.

It's hidden within the 'Administrative Tools': Start => User Interface => Administrative Tools => Data Sources(ODBC)

Not too I am conscious of. The printer and file dialogs are a part of the operating-system. Database less. The Information Sources (ODBC) is not really something I figured you can call from code easily and that i don't believe it returns a connectionstring like you are expecting.