A ver si esto te sirve


Para que aparezca el video en el Form

 Private Declare Function mciSendString Lib "winmm.dll" Alias "mciSendStringA" (ByVal lpstrCommand As String, ByVal lpstrReturnString As Any, ByVal uReturnLength As Long, ByVal hwndCallback As Long) As Long
 
Private Sub Form_Load()
Dim CmdStr As String
Dim ReturnVal As Long
CmdStr = "play " & Chr(34) & "e:\media\avi\nombre.avi" & Chr(34)
ReturnVal = mciSendString(CmdStr, 0&, 0, 0&)
End Sub

Para pantalla completa

 Private Declare Function mciSendString Lib "winmm.dll" Alias "mciSendStringA" (ByVal lpstrCommand As String, ByVal lpstrReturnString As Any, ByVal uReturnLength As Long, ByVal hwndCallback As Long) As Long
 
Private Sub Form_Load()
Dim CmdStr As String
Dim ReturnVal As Long
CmdStr = "play " & Chr(34) & "e:\media\avi\nombre.avi" & Chr(34) " fullscreen"
ReturnVal = mciSendString(CmdStr, 0&, 0, 0&)
End Sub

Saludos 

No necesita ningun control, solo usa una API, lo que necesitas es "winmm.dll" pero eso pienso que viene en todos los XP...

Corregí arriba un poco el code...prueva ahora a ver si te va...

Saludos