Think about what you're trying to achieve. You want to show a dialog before the service starts, but if you put the dialog code in the service, the service has to start before you show the dialog. I'd leave the service as it is, and have a small app that you can use to start the service with which shows the dialog before starting the service.
If you need a GUI you should rethink. The wikipedia article:
http://en.wikipedia.org/wiki/Windows_service[
^] clearly states "a Windows service is a long-running executable that performs specific functions and it is designed not to require user intervention"