Welcome to The Blue Line.
COMDLG32.OCX isn't included in the Required OCX Files package (because I think the COMDLG32.OCX issue only came up since Windows Vista or 7). You can download it
here.
1) Place COMDLG32.OCX in your C:\Windows\System32 folder.
2) Open Notepad and paste this into a new text file:
3) Save the file to your desktop (for the sake of simplicity, lets call it "ehmfix.txt").
4) Go to your desktop and find the ehmfix.txt file you just created. Rename it to "ehmfix.bat" (i.e. so that it has a .bat file extension). Windows will probably ask if you're sure you want to change the file type; just click "Yes". You will see that the file icon will have changed from a text file icon to an icon with a white square and two cogs.
5) Move ehmfix.bat to your C:\Windows\System32 folder.
6) Having now moved your ehmfix.bat file, right-click on the file and click on "Run as Adminstrator". You will most likely get a message entitled "User Account Control" and asking if you're sure you want to load the file. Click on "Yes".
7) The ehmfix.bat file will now register comdlg32.ocx with Windows so that it can use the file.
8) Try loading EHM. Hopefully this will have fixed your issue. If so, you can now delete your ehmfix.bat file.
I've done my best to explain this in as plain English as I can. Let me know if you have any more difficulties, etc.