SDK on Windows 7
From Mod Wiki
Install Microsoft Application Compatibility Toolkit
Install this toolkit from Microsoft: ApplicationCompatibilityToolkitSetup.exe
Setting up fix
Run ACT from Start Menu.
Create new database by clicking on New. Right-click on new database and select Create New -> Application Fix...
Enter application name - Level Editor - then select path to it. Click
Select Windows XP (SP2) from selection of OS modes. Click Next.
Scroll all the way to the bottom and select XPFileDialog. Then let the wizard finish.
Make sure that the new fix is selected. Then click File -> Install.
Run LevelEditor normally (shortcut, LevelEditor.bat) and Save/Load dialog should work.
Running the rest of SDK editors
The same thing should also work on ActorEditor, ParticleEditor and ShaderEditor,