Okay, binary builds don’t have Development libraries built with them, as it’s against the EULA to distribute them with shipped products (sorry that I didn’t realise this before).
You’re actually the second person in a week to ask about this, so I’ll give you the same advice: “If we needed to pick a file in a game, we’d typically implement a custom Slate widget to handle it without having to spawn any additional windows, or rely on OS behaviour.”
You might want to consider a similar solution here, as it would allow you to style your picker to fit in with the rest of your game UI, and avoid any potential focus issues if your game was running full screen.
Here’s a link to the other question: [4.6] Compilation error when adding MainFrame module ? - Community & Industry Discussion - Epic Developer Community Forums