ShowDialog no es un método compartido.
Una de dos, creas una instancia de OpenFileDialog
Protected Sub Button2_Click(sender As Object, e As EventArgs) Handles Button2.Click
Dim ofd As New OpenFileDialog
Dim result As DialogResult = ofd.ShowDialog()
If result = DialogResult.OK Then
lbl2.Text = ofd.FileName
End If
End Sub
ó, sueltas el componente desde el cuadro de herramientas
Protected Sub Button2_Click(sender As Object, e As EventArgs) Handles Button2.Click
Dim result As DialogResult = OpenFileDialog1.ShowDialog()
If result = DialogResult.OK Then
lbl2.Text = OpenFileDialog1.FileName
End If
End Sub