The recording was done on Windows XP w/ Office 2010 (you didn't indicate which version of Windows & Office you have). The File Types tab has been removed in Windows Vista and later, requiring the Browse in same window setting to be configured manually in the registry. See here for more details:
http://support.microsoft.com/kb/927009
Alternatively, download this file and double-click in Explorer:
http://www.kinook.com/Download/Misc/Office.reg
http://www.kinook.com/Forum/showthre...?threadid=1042