The external dialog is a regular ASPX page and there is nothing special about it. So, there should be no problems using the different page events.
Note that, the provided example is for RadEditor for MOSS v 5.x. You can easily use it and with the 4.x one, but you should modify it a little bit. You can review the differences in the already provided KB.
I hope this helps.
the Telerik team
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