To play a video file you need to do two things
1. Decode and Decompress the video, since all the video file formats are compressed and coded using certain method. There are several ways to do that. One is use open-source
FFMPEG[
^] library to get the raw video from the compressed and coded video file.
2. Show the video on display, for windows you will need
DirectX[
^].
This is starting point for starting development. However if you do not wish to develop, and want entire working code, then I suggest you search in Google for open-source video players.