Have you configured something to stand in place of Windows Explorer - eg zabkats xplorer2, or gpsofts Directory Opus, or are you running 'interesting' shell extensions.
In here
http://manual.calibre-ebook.com/customize.html I see
CALIBRE_NO_NATIVE_FILEDIALOGS - Causes calibre to not use native file dialogs for selecting files/directories.
If you set it to "True" then calibre will use its own file dialogues - I don't think it's value matters, just its presence. Probably wont fix the problem but maybe it gives more diagnostic data.
BR