Are you sure you did import the Windows Media Player control?
Make a right mouse button click to your toolbox .
Select: “Select Item” (Please note I’m using a German Version, I don’t know the exact description), in every case you have to add a control.
After this there will appear a menu with 3 register.
.Net Framewrk Compnents
Com Control? Or similar
Select COM Controls and search Windows Media Player. Mark it by the checkbox
and click ok.
The control will be added to your other controls in your list box. Maybe it helps if you will arrange the list of controls alphabetically?