Para quem quiser adaptar...

Pesquisei, pesquisei, adaptei e consegui.

Dim sDiretorio As String
Dim sArquivo As String

Private Sub UserForm_Activate()

Me.ListBox1.Clear
Me.carregarDiretorios

End Sub

Private Sub ListBox1_Click()

Me.ListBox2.Clear
sDiretorio = Me.ListBox1.Value
Me.carregarArquivos

End Sub

Sub carregarDiretorios()

MyPath = "D:Downloads"
MyName = Dir(MyPath, vbDirectory)
Do While MyName <> ""
 If MyName <> "." And MyName <> ".." Then

If (GetAttr(MyPath & MyName) And vbDirectory) = vbDirectory Then
   Me.ListBox1.AddItem MyName
  End If
 End If
 MyName = Dir
Loop

End Sub

Sub carregarArquivos()

Dim fileList() As String
Dim fName As String
Dim fPath As String
Dim I As Integer
'define the directory to be searched for files
fPath = "D:Downloads" & sDiretorio & ""

'build a list of the files
fName = Dir(fPath & "*.xlsx")
While fName <> ""
'add fName to the list
I = I + 1
ReDim Preserve fileList(1 To I)
fileList(I) = fName
'get next filename
fName = Dir()
Wend
'see if any files were found
If I = 0 Then
MsgBox "Nenhum arquivo localizado na pasta selecionada!", vbInformation
Exit Sub
End If
'cycle through the list and add to listbox
For I = 1 To UBound(fileList)
Me.ListBox2.AddItem fileList(I)
Next

End Sub

Private Sub CommandButton1_Click()

If Me.ListBox2.Text = "" Then

    MsgBox "Selecione um arquivo!", vbCritical
    
Else

sArquivo = Me.ListBox2.Text
UserForm1.Hide
MsgBox sArquivo

End If

End Sub