Hi,
There is a method in the Acrobat SDK called execDialog that can be called from within an XFA Form. You can pass values to and from a dialog using this method. It is a bit involved and therefore I strongly recommend AcroDialog, which is a plugin for Acrobat from Windjack Solutions (http://windjack.com/product/acrodialogs/).
You can use this graphical interface to create dialogs and hten copy the script into your XFA Form.
Hope that helps,
Niall