The LOADPROGRAM command all by itself will pop-up the Windows file and folders menu where you can select from any directory or NetWork drive.
The file will load into memory when doing so, but as long as you don't run the file, using CYCLESTART or RUN from the MDI window then it doesn't execute.
The LOADPROGRAM command can be put into an MCODE as you asked. If you also put on the next line the command FILENAME then you can store the file name you picked into a variable. There is also a FULL option that stores the complete filename and path into the variable too.