To do this with that standard windows explorer and common dialogs you will need to write or find an appropiate Shell namespace extension.
A shell namespace extension is an COM object that allows you to present virtual folders in the explorer shell. So in your case the shell extension will allow the user to navigate the jar file structure as if it where a folder on your machine.
You can write a shell extension with managed code, but at least for versions of the framework prior to 4.0 this was not supported by MS because of potention problems with conflict of loading more than one version of the framework into a process. Now that 4.0 supports side by side loading of framework versions, maybe this is supported.
Here is a link to an article on writting a shell namespace extension
http://msdn.microsoft.com/en-us/magazine/cc188741.aspx
I never tried this, but here is an extension that supports treting 7-zip supported files as a folder. Maybe this will help you at least get started if you need to do this yourself.
http://7zipshell.codeplex.com/