To followup on this one for others attempting something like this, even though it is a few years later.

I found a bit of a workaround if you don't want to go the route that Ryan stated above.  Not sure if it will work on older versions though, as I'm running 7.5.3. 

I found that if you manually typed into to LookupEdit the location you wanted to go to, without a filename, it would not open the lookup.  However, if you typed in anything after your directory location, it would open the lookup.  So I took the following steps:

1. Set LookupAutoPopup to True

2. Enter the following (or something similar) on the OnEnterControl event:

FormLookup.Text = "C:\Forms Recieved\Choose a file"

The result is that your lookup opens up in the directory "C:\Forms Recieved\ , with the text "Choose a file" in the File name section. 

This may not be the best way to achieve this type of result, but it does the job with minimal programming required. 

Hope this helps someone else out!

Pretty tricky  good idea.