It appears that you are in the VBA editor of one of the Office
applications. If you start VB and Click on "Project"
> "Components" then you can select the additional controls you
want for the VB project.

If you are indeed trying to develop in the VBA editor then go
to "Insert" > "User Form" and click. Then you will see the toolbox
appear along with a form. Then go to "Tools" > "Additional
Controls" and select "Microsoft Common Dialog Control version
x.x" and it will appear in your toolbox.