I'm curious and it could give my little app a nice finishing touch. Thanks!
You can't if you use the class FolderBrowserDialog directly. But I read somewhere that it could be possible to change the title with P/Invoke and sending WM_SETTEXT message.
In my opinion, it is not worth the pain. Just use the property Description to add the information:
FolderBrowserDialog dlg = new FolderBrowserDialog();
dlg.Description = "Select the document folder";