If you don't want to use Windows Media Player, then you need to look at using an WPF MediaElement (which can be embedded in a winforms application), or use DirectShow. The former needs some WPF experience, the later has a learning curve as well, but that can be mitigated by using the DirectShow.NET DLL.
http://directshownet.sourceforge.net/[
^] - it includes samples of players, and can play audio and video components.
It's a lot easier to use Windows Media Player though!