You need to set some config information for the FCKEditor. This is done either in javascript code in your webpage or you can do it in the FCKEditor config file which is located typically in /fckeditor/fckconfig.js file. If you did not install the fckeditor to the typical fckeditor directory, you will need to replace that part of the path with the correct path.
In the fckconfig.js file you need to change the "ImageBrowserURL" setting to whatever you want.
FCKConfig.ImageBrowserURL = '/myfilebrowserpath/browser.php' ;
This is where the dialog will look for your files. Here is a link to FCKEditor documentation on this. I hope that helps.