If you're trying to get just the path, perhaps the BrowseForFolder function is a better choice. It displays a dialog box and allows the user to select a path.
From the documentation:
Prototype:
function BrowseForFolder(const Prompt: String; var Directory: String; const NewFolderButton: Boolean): Boolean;
Description:
Displays a dialog box that enables the user to select a directory. The current value of Directory is used as the initially selected directory. If NewFolderButton is True, a New Folder button will be shown, allowing the user to create new folders. Returns True if the user selected a directory and clicked OK, False otherwise. The selected directory is returned in the Directory string.
Remarks:
On Windows versions prior to XP, passing False in the NewFolderButton parameter has no effect; the New Folder button will always be shown. This is a Windows limitation.