Check if the file exists using VBA

Note your code contains Dir("thesentence") which should be Dir(thesentence).

Change your code to this

Sub test()

thesentence = InputBox("Type the filename with full extension", "Raw Data File")

Range("A1").Value = thesentence

If Dir(thesentence) <> "" Then
    MsgBox "File exists."
Else
    MsgBox "File doesn't exist."
End If

End Sub

Use the Office FileDialog object to have the user pick a file from the filesystem. Add a reference in your VB project or in the VBA editor to Microsoft Office Library and look in the help. This is much better than having people enter full paths.

Here is an example using msoFileDialogFilePicker to allow the user to choose multiple files. You could also use msoFileDialogOpen.

'Note: this is Excel VBA code
Public Sub LogReader()
    Dim Pos As Long
    Dim Dialog As Office.FileDialog
    Set Dialog = Application.FileDialog(msoFileDialogFilePicker)

    With Dialog
        .AllowMultiSelect = True
        .ButtonName = "C&onvert"
        .Filters.Clear
        .Filters.Add "Log Files", "*.log", 1
        .Title = "Convert Logs to Excel Files"
        .InitialFileName = "C:\InitialPath\"
        .InitialView = msoFileDialogViewList

        If .Show Then
            For Pos = 1 To .SelectedItems.Count
                LogRead .SelectedItems.Item(Pos) ' process each file
            Next
        End If
    End With
End Sub

There are lots of options, so you'll need to see the full help files to understand all that is possible. You could start with Office 2007 FileDialog object (of course, you'll need to find the correct help for the version you're using).

Correction to fileExists from @UberNubIsTrue :

Function fileExists(s_directory As String, s_fileName As String) As Boolean

  Dim obj_fso As Object, obj_dir As Object, obj_file As Object
  Dim ret As Boolean
   Set obj_fso = CreateObject("Scripting.FileSystemObject")
   Set obj_dir = obj_fso.GetFolder(s_directory)
   ret = False
   For Each obj_file In obj_dir.Files
     If obj_fso.fileExists(s_directory & "\" & s_fileName) = True Then
        ret = True
        Exit For
      End If
   Next

   Set obj_fso = Nothing
   Set obj_dir = Nothing
   fileExists = ret

 End Function

EDIT: shortened version

' Check if a file exists
Function fileExists(s_directory As String, s_fileName As String) As Boolean

    Dim obj_fso As Object

    Set obj_fso = CreateObject("Scripting.FileSystemObject")
    fileExists = obj_fso.fileExists(s_directory & "\" & s_fileName)

End Function