I was playing around the other day and I wanted to be able to put the ability to play some video into an application I was building. I thought to myself how nice it would be if I could just put Media Player into my application. Of course I would want to be able to control it from code and get some events off of it.
Then I found the Windows Media Player 10 SDK. Once you install the SDK you will be able to add Windows Media Player as a control to your page.
Check out the sample in C:\WMSDK\WMPSDK10\samples\dotNet\VB. This sample is a good example of using the control and adding both MP3 (and other formats) and video to your applciaitons. It is pretty straight forward and you don't need alot of code to do it.
There is an older VB 6.0 example at C:\WMSDK\WMPSDK10\samples\vb6\DVDPlayer that shows you how to use the SDK to build a simple DVD Player.