Standard Win32 menus and dialogs are saved as compiled resources in a PE file (EXE- or DLL-file). Since they're compiled, it's pretty tough replacing these items without some kind of editor, to compile them. But it's possible, don't get me wrong.
You could create your own DLL (or steal it from mynetx as everyone else does), and then use a resource editor to add/edit the resource. I'm not sure if Resource Hacker has the ability to add new resources, but I'm very sure you can do this with Visual Studio. Visual Studio is an IDE, much more than just a resource editor. It also contains several handy tools when developing programs. The Express version is free, and I strongly recommend it.
Back to dialog-replacing.
You can view the original dialog by opening the DLL/EXE containing the resource in Resource Hacker (this resource is not getting extracted by the MP!L extraction wizard), and then modify it and copy it over to your own DLL's resources (save it to a RES-file).
Under the SkinInfo documentation in the skinning-docs you can find the tags needed for dialog-replacement. I think you will find them on your own.
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