You can't get the "OK Pressed" directly, but you can check the error output. An error code 43 is generated when a user hits cancel in the dialog box.
If you're using a vi from the File I/O pallet (like "Write to SGL File"), they unfortunately don't have the error cluster wired as an output. They do have an output of the selected path. This is set to "Not A Path" if the user selects Cancel. Test the output path - if it is equal to the "Not A Path" constant, then the user hit cancel.
Tim