There's another way to get the same dialog and get the filepath that way.
Set up an Insert File script step to open a Dialog where the user finds and selects the file. By specifying the "store a reference" option, the insert file script step will insert a reference to the selected file in a container field. You can then extract the file path from the container field, put it in a $Path variable and use it in turn with each import record step to specify the name and location of the file to be imported.
This thread on $Path variables has more info on the subject: Exploring the use of a $Path Variable in Scripts
Perfect. Thanks Phil!