The CDN_FOLDERCHANGE notification message is sent by an Explorer-style Open or Save As common dialog box when a new folder is opened. Your OFNHookProc hook procedure receives this message in the form of a WM_NOTIFY message.
CDN_FOLDERCHANGE 
lpon = (LPOFNOTIFY) lParam; 
 The OFNOTIFY structure contains an NMHDR structure whose code member indicates the CDN_FOLDERCHANGE notification code.
The return value is ignored.
The system sends this notification only if the dialog box was created using the OFN_EXPLORER value.
To get the path of the newly opened folder, the hook procedure can send the CDM_GETFOLDERPATH message to the dialog box.
  Windows NT: Requires version 4.0 or later.
  Windows: Requires Windows 95 or later.
  Windows CE: Requires version 1.0 or later.
  Header: Declared in commdlg.h.
Common Dialog Box Library Overview, Common Dialog Box Messages, CDM_GETFOLDERPATH, GetOpenFileName, GetSaveFileName, NMHDR, OFNHookProc, OFNOTIFY, WM_NOTIFY