Adding MFC dialogs in VS .NET 2003

I've decided to give in and learn MFC but I need some help. It's not help understanding anything, just when I've added a new dialog resource I go to create a new class for it (Project->Add Class...). I choose MFC Class and fill out the form as you'd expect - deriving from CDialog leaving everything else as-is (named it MyDlg) but when I click OK I get a message box pop up saying "Object Required" and the class isn't created.

If nobody knows what the hell is going on could you instead post up a sample class derived from CDialog as it would appear if I could use the wizard to create it.

Well I managed to whack together a CDialog - derived class without too much trouble, but I still want to know what someone else thinks about the problem.