Here's one way:
Code:
Dim strFile As String
strFile = "C:\Users\BK\Desktop\DATA.txt"
With Application.FileDialog(msoFileDialogFilePicker)
.AllowMultiSelect = False
.Show
If .SelectedItems.Count = 1 Then
strFile = .SelectedItems(1)
Else
MsgBox "No file selected", vbExclamation
Exit Sub
End If
End If
'IMPORT the file from desktop (DATA.txt)
With ActiveSheet.QueryTables.Add(Connection:= _
"TEXT;" & strFile, Destination:=Range("$A$1"))
...