You never passed the id of the dialog, how would u expect the dialog to be created?

ClassName db "DLGCLASS",0
MenuName db "MyMenu",0
DlgName db "MyDialog",0

WinMain proc hInst:HINSTANCE,hPrevInst:HINSTANCE,CmdLine:LPSTR,CmdShow:DWORD
      LOCAL wc:WNDCLASSEX
     LOCAL msg:MSG
   LOCAL hDlg:HWND
 mov   wc.cbSize,SIZEOF WNDCLASSEX
   mov   wc.style, CS_HREDRAW or CS_VREDRAW
    mov   wc.lpfnWndProc, OFFSET WndProc
        mov   wc.cbClsExtra,NULL
    mov   wc.cbWndExtra,DLGWINDOWEXTRA
  push  hInst
 pop   wc.hInstance
  mov   wc.hbrBackground,COLOR_BTNFACE+1
      mov   wc.lpszMenuName,OFFSET MenuName
       mov   wc.lpszClassName,OFFSET ClassName
     invoke LoadIcon,NULL,IDI_APPLICATION
        mov   wc.hIcon,eax
  mov   wc.hIconSm,eax
        invoke LoadCursor,NULL,IDC_ARROW
    mov   wc.hCursor,eax
        invoke RegisterClassEx, addr wc
     invoke CreateDialogParam,hInstance,ADDR DlgName,NULL,NULL,NULL
      mov   hDlg,eax
      invoke GetDlgItem,hDlg,IDC_EDIT
     invoke SetFocus,eax     
    INVOKE ShowWindow, hDlg,SW_SHOWNORMAL
       INVOKE UpdateWindow, hDlg
   .WHILE TRUE
                INVOKE GetMessage, ADDR msg,NULL,0,0
                .BREAK .IF (!eax)
                invoke IsDialogMessage, hDlg, ADDR msg
                .if eax==FALSE
                        INVOKE TranslateMessage, ADDR msg
                        INVOKE DispatchMessage, ADDR msg
                .endif
     .ENDW
       mov     eax,msg.wParam
      ret
WinMain endp
    

proc MainDialogProc,hwnddlg,msg,wparam,lparam
        push    ebx esi edi
        cmp     [msg],WM_CREATE
        je      .wmcreate
        cmp     [msg],WM_COMMAND
        je      .wmcommand
        cmp     [msg],WM_CLOSE
        je      .wmclose
        cmp     [msg],WM_DESTROY
        je      .wmdestroy
  .default:
        invoke  DefWindowProc,[hwnddlg],[msg],[wparam],[lparam]
        jmp     .finish
  .wmcreate:
        mov     eax,FILE_ATTRIBUTE_DIRECTORY
        mov     [DirAttr1],eax
        mov     [DirAttr2],eax
        mov     eax,TRUE
        jmp     .finish
  .wmcommand:
        cmp     [wparam],BN_CLICKED shl 16 + ID_CANCEL
        je      .wmclose
        ; ...
  .wmclose:
        invoke  DestroyWindow,[hwnddlg]
        jmp     .finish
  .wmdestroy:
        invoke  PostQuitMessage,0
  .finish:
        pop     edi esi ebx
        return
endp    

(...) and it should work.