And that's not Windows Forms.
If you just want to play a video, the Windows Media Player COM component works quite nicely. If you're using the WinForms designer, you can add it to the Toolbox by selecting Choose Items on the Toolbox's context menu (which apparently takes a really long time to open on my machine) and selecting Windows Media Player on the COM tab.
If you want to be able to draw on top of the video or want a little more control, you probably want to use DirectShow (via DirectShow.net, if that project's not dead). You can't layer other components (including labels) on top of the WMP control; they'll just punch a hole through the control and show the form's background. See
http://channel9.msdn.com/forums/TechOff/138593-Superimpose-text-on-top-of-Windows-Media-Player/.