This dialog appears when:
The Project Files lists all C++ source files that are memebers of any of the projects in the current workspace.
If the file you want is not a member of one of the current projects then you can use the Browse Files pane to locate it.
If you set the file type to be XML Files (*.xml) using the Files of type combo at the bottom of the dialog, you can import XML function definition files created using the Export Files Dialog.
Function Wizard | Open Command | Export Command | Export Dialog