Unless you want to write yourself all the video decoding and rendering (and with all the video format existing will be a project that may take years!) you must rely on some external component.
On windows that "componet" is the "media player" (don't think to it in term of the application you lauch clicking the icon: that just a small exe loading a bunch of DLLs that do the real job! I'm talking about the DLL themselves).
To access those DLLs you have to call their own API that are expressed in the form fo a COM object (hence RKnGI solution).
As an alternative, you ca look at the
VLC project[
^], either as a compoent "a-la mediaplayer" or as a library (you can download the sources) to link to.