If you want to include multiple file extensions, use a ';' character to separate them
C++
this->openFileDialog1->DefaultExt = L"*.exe;*.dll";
this->openFileDialog1->Filter = L"EXEs and DLLs (*.exe;*.dll)|*.exe;*.dll";
C#
this.openFileDialog1.DefaultExt = "*.exe;*.dll";
this.openFileDialog1.Filter = "EXEs and DLLs (*.exe;*.dll)|*.exe;*.dll";
Note that these properties may be set in the WinForms designer too.