Do you use FpDebug or GDB ? => See Tools > Options > Debugger Backend
Which Windows version?
In some cases the dialog takes a bit longer to open (10 to 20 seconds have been seen as worst case). I guess you waited longer than that.
The reason is that the File open dialog (any file dialog) loads lots of DLLs. Handlers from other unrelated apps. Anything that hooks into the file-explorer, either (many of the) extra menu entries for the context menu (Such as "compress with ..."). Or file preview handlers, Or icon overlays ....
The debugger get notification for that, and may load debug info.
Also, if those are causing exceptions, the debugger gets notified too.
Usually that does not lead to a hang, though....
But such a dll, could contain code that misbehaves (intentionally) under a debugger....