Sure you can, for example in Office 2007, open the "Open dialog", in the
file selection pane, highlight a folder, now R-click in the pane with
Recent Documents, Desktop, My Documents and My computer and then pick
Add "what ever you selected".
Very nice feature. But Office uses it's own version of the standard
dialog, and they seem to have added that feature for Office 2007, it's
not in Office 2003.
Other apps don't have access to that. If I use File|Open in Textpad,
for example, the standard XP File Open dialog is shown. (It lives in
one of the system DLLs, all programs can use it.) You can't add
anything to the left column in that dialog. Somebody mentioned
TweakUI, which I have no firsthand experience with. Maybe that would
work.