Recording on Windows controls in native dialogs is generally possible.
In Squish for Windows this is enabled by default.
In other Squish editions this is supported via the so called Windows fallback wrapper (available only on the Windows platform and only with a license key that includes Squish for Windows as well), but it is disabled by default.
To enable recording on controls in native dialogs change the entry
Whitelist in the file
<SQUISH_DIR>/etc/winwrapper.ini to this:
Also see Configuring the recognition of native Windows controls for enabling support for automating Windows controls in Squish.