Is this an extra dialog? There is already one that lets the user choose the primary installation folder - do you want another one?
In any event, that list of dialogs is the list of ones you can add. Visual Studio doesn't let you create your own custom dialogs for the UI sequence. I'll also point out that it won't help to do this in a custom action because they run when the install is nearly finished, and so it's too late to choose an installation folder for something.