Windows 7 hangs with common dialogs when COM is not initialised correctly

VCL-fragment.pas

        try
          LDialogEvents := TFileDialogEvents.Create(Self);
          Advise(LDialogEvents, LAdviseCookie);
          try
            Result := Succeeded(Show(ParentWnd)); //// <---- hangs here
            if Result then
              Result := Succeeded(GetResults);
          finally
            Unadvise(LAdviseCookie);
          end;
        finally
          EnableTaskWindows(LWindowList);
          SetActiveWindow(ParentWnd);
          RestoreFocusState(LFocusState);
        end;