That is a windows dialog and you cant change it without altering the .dll that it runs from.

Altering dialogs and windows' in windows isnt that hard though.

Get a program called ResHacker :http://www.angusj.com/resourcehacker/

With this you can change a rediculous amount of things in windows.

A good site with alot of examples and howto's is :http://wint.virtualplastic.net/

No one serious about customizing windows should be without this.