http://msdn.microsoft.com/en-us/library/system.windows.forms.openfiledialog.aspx
Windows 7, Windows Vista SP1 or later, Windows XP SP3, Windows XP SP2 x64 Edition, Windows Server 2008 (Server Core not supported), Windows Server 2008 R2 (Server Core supported with SP1 or later), Windows Server 2003 SP2
The .NET Framework does not support all versions of every platform. For a list of the supported versions, see .NET Framework System Requirements.
I guess the OpenFileDialog and SaveFileDialog are not supported in Server Core. Will try to find a way around this.