Hi Raynatucher,
my guess is the Color Dialog did open but it is opened somewhere outside the screen. (in that case, you will find you cannot continue operating untile you press Esc key)
if so, you may try deleting the default.xml file to reset Impression settings.
You will find this file under (Windows XP)
C:\Document and Settings\\Local Settings\Application Data\Autodesk\Impression\2.0\enu\
(vista)
C:\Users\\AppData\Local\Autodesk\Impression\2.0\enu
if this cannot resolve your problem, please provide more info (steps to get this problem, any abnormal screenshots, etc), we will see if there's any other possible issues.
cheers,
-Jonny