Based on your screenshot it seems like the dialogue is actually being displayed, it's just a styling issue. Is something else not working? Can you be more specific?
It seems that you are not including a jQuery UI theme, so if you do that it should fix the basic display issues you are having. You can use the
jQuery UI ThemeRoller to customize the theme to a certain degree. Then just include that stylesheet (with the asset folder that comes with it in the same directory) above your custom stylesheets and you can override whatever styles you need.
Generally though, I think it is better not to fight too much with the default styling unless you really need to. It can get out of hand and not really worth it if you try to customize it too much, but it is doable if you need to.
Hope that helps!