Playing AVI videos using MCI
You can play videos from your Visual Basic application using MCI (Multimedia Control Interface). In fact, it's not that hard once you know the MCI command strings. Here's an example on how to play an AVI video:

Declare Function mciSendString Lib "mmsystem" (ByVal strCommand As String, ByVal strReturn As String, ByVal iReturnLength As Integer, ByVal hCallback As Integer)

Dim nReturn as Long

nReturn = mciSendString("Open myfilm.avi type AVIVideo Alias Video", "",0,0)
nReturn = mciSendString("Play Video FullScreen","",0,0)
nReturn = mciSendString("Close Video","",0,0)