Is there any free media player control library that allows us to play videos in a .NET Compact Framework application?
We tried the one available at http://www.coppercoins.de/post/2008/11/03/WMP-Part-IIIa-Creating-new-Interop-Assembly-for-Mediaplayer.aspx, but having issues with memory problems and access violation errors.
Did you look at the MSDN article on ActiveX Hosting? Be aware that it has a bug in it.
If you need a player for Windows CE (i.e. not Windows Mobile) there's an open-source one for DShow available on Codeplex.