以下在 XE2 中对我来说很好用:
type
  TMyFileDialogEvents = class(TInterfacedObject, IFileDialogEvents, IFileDialogControlEvents)
  public
    { IFileDialogEvents }
    function OnFileOk(const pfd: IFileDialog): HResult; stdcall;
    function OnFolderChanging(const pfd: IFileDialog;
      const psiFolder: IShellItem): HResult; stdcall;
    function OnFolderChange(const pfd: IFileDialog): HResult; stdcall;
    function OnSelectionChange(const pfd: IFileDialog): HResult; stdcall;
    function OnShareViolation(const pfd: IFileDialog; const psi: IShellItem;
      out pResponse: DWORD): HResult; stdcall;
    function OnTypeChange(const pfd: IFileDialog): HResult; stdcall;
    function OnOverwrite(const pfd: IFileDialog; const psi: IShellItem;
      out pResponse: DWORD): HResult; stdcall;
    { IFileDialogControlEvents }
    function OnItemSelected(const pfdc: IFileDialogCustomize; dwIDCtl: DWORD;
      dwIDItem: DWORD): HResult; stdcall;
    function OnButtonClicked(const pfdc: IFileDialogCustomize;
      dwIDCtl: DWORD): HResult; stdcall;
    function OnCheckButtonToggled(const pfdc: IFileDialogCustomize;
      dwIDCtl: DWORD; bChecked: BOOL): HResult; stdcall;
    function OnControlActivating(const pfdc: IFileDialogCustomize;
      dwIDCtl: DWORD): HResult; stdcall;
  end;
const 
  dwVisualGroup1ID: DWORD = 1900; 
function TMyFileDialogEvents.OnFileOk(const pfd: IFileDialog): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnFolderChange(const pfd: IFileDialog): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnFolderChanging(const pfd: IFileDialog;
  const psiFolder: IShellItem): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnOverwrite(const pfd: IFileDialog;
  const psi: IShellItem; out pResponse: DWORD): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnSelectionChange(const pfd: IFileDialog): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnShareViolation(const pfd: IFileDialog;
  const psi: IShellItem; out pResponse: DWORD): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnTypeChange(const pfd: IFileDialog): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnItemSelected(const pfdc: IFileDialogCustomize; dwIDCtl: DWORD; dwIDItem: DWORD): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnButtonClicked(const pfdc: IFileDialogCustomize; dwIDCtl: DWORD): HResult;
begin
  if dwIDCtl = dwVisualGroup1ID then begin
    // ...
    Result := S_OK;
  end else begin
    Result := E_NOTIMPL;
  end;
end;
function TMyFileDialogEvents.OnCheckButtonToggled(const pfdc: IFileDialogCustomize; dwIDCtl: DWORD; bChecked: BOOL): HResult;
begin
  Result := E_NOTIMPL;
end;
function TMyFileDialogEvents.OnControlActivating(const pfdc: IFileDialogCustomize; dwIDCtl: DWORD): HResult;
begin
  Result := E_NOTIMPL;
end;
.
var
  FileDialog: IFileDialog = nil;
  MyEvents: IFileDialogEvents = nil; 
  MyEventsCookie: DWORD = 0;
procedure TForm1.FileSaveDialog1Execute(Sender: TObject); 
var 
  c: IFileDialogCustomize; 
  d: IFileDialogEvents; 
  cookie: DWORD;
begin 
  if Supports(FileSaveDialog1.Dialog, IFileDialogCustomize, c) then 
  begin 
    // Add a Advanced Button 
    c.AddPushButton(dwVisualGroup1ID, 'Advanced'); 
    c.MakeProminent(dwVisualGroup1ID); 
    // Setup the PushButton Click event 
    d := TMyFileDialogEvents.Create; 
    if Succeeded(FileSaveDialog1.Dialog.Advise(d, cookie)) then
    begin
      FileDialog := FileSaveDialog1.Dialog
      MyEvents := d;
      MyEventsCookie := cookie;
    end;
  end; 
end;
procedure TForm1.Button1Click(Sender: TObject); 
var
  Ok: Boolean;
begin
  FileDialog := nil;
  MyEvents := nil; 
  MyEventsCookie := 0;
  try
    Ok := FileSaveDialog1.Execute;
  finally
    if (FileDialog <> nil) and (MyEventsCookie <> 0) then
      FileDialog.Unadvise(MyEventsCookie);
    FileDialog := nil;
    MyEvents := nil; 
    MyEventsCookie := 0;
  end;
  if Ok then ...
end;