You may have noticed that Windows has a rather haphazard way of applying the fonts specified in Visual Styles. That is to say, whilst a particular visual style may attempt to enforce a particular font, Windows will often ignore this in applications and dialogs.
The problem is a registry key, which enforces font substitutions in Windows. Now, most applications specify their font as MS Shell Dlg or MS Shell Dlg 2. By default, these two fonts are replaced by Microsoft Sans Serif and Tahoma, respectively. To achieve a more uniform feel across your system, all that you need to do is edit these substitutions.
To do this, run ‘regedit’ from your Start menu. Then navigate to HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\FontSubstitutes. You should see a list of key/value pairs on the right. Simply double-click on the entries for MS Shell Dlg and replace their contents with the font of your choice — make sure, however, that you spell it exactly right.
That’s it! The change will be in effect once you restart. Bear in mind that this is a change made to the entire Windows installation, not just your user settings.