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I have an dialog application and I want to run that application exe once at a time i.e. when I run the exe of that application then I can not open another instance of the same application at the same time.How can ??
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Just check on your InitInstance method (or anywhere else at the start of your program) whether a process with this name is already running. If so, exit.

Stumbled upon this quickly

How to check if an application is already running [^]
 
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See the MSDN article How to write an application that supports fast user switching in Windows XP[^]. The section Detect an Existing Application Instance describes how to add code to check if another instance is already running even when started by another user.

[EDIT]
An example with good explanations can be also found at Avoiding Multiple Instances of an Application[^].
[/EDIT]
 
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