The JavaFX 2.2 release by itself does not provide dialog boxes. As far as I read, they will be available officially in the next release.
However, that doesn't mean you cannot get an early taste of them. Check out OpenJFX project on how to get Dialogs.
Also check out http://fxexperience.com/2012/10/announcing-the-javafx-ui-controls-sandbox/ which provides information and screenshots of those dialogs. You will need to 'hg clone' the OpenJFX repository and compile it. You can the include the jar file in your project and a Dialog class with static methods for showing different types of dialogs, will be available for use.