Someone requested me to write a tutorial about making a mp3 player in vb.net by the way i actually don't have time to do it but i am here to do a simple one because i don't want to deny his request or late .. first of all right click on your toolbox and select Choose Items and a window will come up move to COM tab page in that window and search for Windows Media Player when you found it tick it and click ok button .
Then you will see any tool in your toolbox that should be this (Windows Media Player)
