I have now installed DirectX SDK. I am using VS2005 on Vista Home.
I have visited "http://www.programmersheaven.com/2/FAQ-DIRECTX-Play-Video-File%28MPEG-and-AVI%29" and there is a code to try. Yet, I cannot compile it as it is using DirectDraw and needs other headers like mmstream.h. I am now seeking for some more ideas and samples.
The task is simple. Play a mpg movie file in a windows form. The control bar is not compulsary. Just play it once and when it ends it can be detected.