An elevation of privilege vulnerability exists when Windows fails a check, allowing a sandbox escape. An attacker who successfully exploited the vulnerability could use the sandbox escape to elevate privileges on an affected system.
This vulnerability by itself does not allow arbitrary code execution. However, the vulnerability could allow arbitrary code to run if an attacker uses it in combination with another vulnerability, such as a remote code execution vulnerability or another elevation of privilege vulnerability, that can leverage the elevated privileges when code execution is attempted.
The security update addresses the vulnerability by correcting how Windows file picker handles paths.