It's possible to kludge together dialogs via the SDK, but I don't know of an easy way to spit things out to the screen from a DLL. You can twiddle pixels and write your own routines to draw fancy boxes for the interface, of course. However, I get the impression that Windows-native dialog boxes do not display in fullscreen mode. (Whether or not this is true, I'm not sure.)

I'd also be interested in hearing if anyone's come up with some easy-to-use dialogs.