Goto Microsoft.com and download the DirectX SDK and use it. It works great with a nice help menu showing you the Methods, Properties, and Events available to use. Works with all .NET languages.
http://www.microsoft.com/downloads/details.aspx?FamilyId=1FD20DF1-DEC6-47D0-8BEF-10E266DFDAB8&displaylang=en
Just add a reference to your project. Reference Microsoft.DirectX.AudioandVideoPlayback.dll
Then declare an object to use as the audio or video file.
[COLOR=blue]Dim[/COLOR] [COLOR=blue]WithEvents[/COLOR] Vid [COLOR=blue]as new[/COLOR] Microsoft.DirectX.AudioandVideoPlayback.Video(fileName)
Then Vid will have all the propertys and settings you want to use as well as events.
For example:
Vid.Owner = [COLOR=blue]Me[/COLOR]
Vid.Play()
That will paint the current form with the video. You can figure the rest out, it's really simple.
Some quick tips to help you out since I am familiar with DX.
You have to supply a fileName with the DX constructor; however if you attempt to open a new video file then the old one will continue to play along with the new one and you will often get a null reference if you just try to use vid.open(fileName). So I write my own wrappers for the object to work better.
Example:
First Import the namespace to save time typing.
Imports Microsoft.DirectX.AudioandVideoPlayback
Then I wrote an overloaded sub play.
When I call just play I simply play (you know b/c you may be in a pause state) but not if it's null b/c DX gives null reference error.
When I call it with FileName it checks to either instantiate the object is null or just open new if not. This prevents overlapping video. Of course, overlapping may be a process you want to happen sometimes so figure out your style. Hope this helps give you a nice start.
[COLOR=blue]Public Sub Play[/COLOR]([COLOR=blue]ByVal[/COLOR] FileName [COLOR=blue]as String[/COLOR])
[COLOR=blue]If[/COLOR] Vid [COLOR=blue]is Nothing then[/COLOR]
Vid = [COLOR=blue]New[/COLOR] Video(FileName, [COLOR=blue]True[/COLOR])
[COLOR=blue]Else[/COLOR]
Vid.Open(FileName, [COLOR=blue]True[/COLOR])
[COLOR=blue]End If[/COLOR]
[COLOR=blue]End Sub[/COLOR]
[COLOR=#0000ff]Public Sub [/COLOR][COLOR=black]Play[/COLOR][COLOR=black]()[/COLOR]
[COLOR=blue] If[/COLOR] Vid [COLOR=blue]is Nothing then Return[/COLOR]
Vid.Play()
[COLOR=blue]End Sub[/COLOR]