Is there an alternative to the axWindowsMediaPlayer component?
I'd be using it from C#.
I'm not sure how robust or viable it is, but you could check out: http://www.codeproject.com/KB/graphics/mediashow.aspx?msg=3157508
It's using DirectShow - so even if you can't use it directly, you can use it as an example of how to use DirectShow in your own solution.