Hi Mike,
The same kind of code is used in the $ROOTSYS/tutorials/guitest.C and $ROOTSYS/test/guitest.cxx. I see no problem to open the file dialog on Windows in both examples via File menu / Open. I have MS Visual Studio .NET installed on Windows and I am not using gcc 3.4.4. My colleagues with deep knowledge on Windows/Cygwin stuff will investigate and advise you further.
Cheers, Ilka