The way i did it was, and I quote:
Right-click the Toolbox, and click Choose Items.
Note: If you do not see the Toolbox, click Toolbox on the View menu to
open it. The Customize Toolbox Items dialog box opens.
On the COM Components tab, select the Windows Media Player check box,
and then click OK.
The Windows Media Player control appears on the current Toolbox tab.
When you add the Windows Media Player control to the Toolbox, Visual
Studio automatically adds references to two libraries: AxWMPLib and
WMPLib. The next step is to add the control to the Windows Form.
To add the Windows Media Player control to a Windows Form
Drag the Windows Media Player control from the Toolbox to the Windows
Form.
In the Properties window, set the Dock property to Fill. You can do
this by clicking the center square.
Double-click the title bar of the form to add the default Load event
in the Code Editor.
Add the following code to the Form_Load event handler to load a video
when the application opens.
axWindowsMediaPlayer1.URL =
@"http://go.microsoft.com/fwlink/?LinkId=95772";
http://msdn.microsoft.com/en-us/library/bb383953(v=vs.90).aspx