It is difficult to answer your question, because it is unclear what you are talking about.
Do you mean the Windows Media Player ActiveX control, or the DXPlayer plug-in?
The WMP ActiveX control allows you to do anything WMP can do (and any way you want to do it) except, as far as I know, choose visualization schemes. Here is an entrance to the maze they call the Windows Media Player Object Model: http://msdn.microsoft.com/library/default.asp?url=/library/en-us/wmplay10/mmp_sdk/windowsmediaplayeractivexcontrol.asp
The DXPlayer has both benefits and drawbacks over the WMP ActiveX control, or any other control (such as one for Winamp, for example). The main benefits are ease of use and it works with several different media player applications. Primary drawbacks are limited and somewhat bizzarre playlist control and functions that are present, but not actually fully implemented (you can get a media window to open, but not position or resize it).
The best way to learn, in my opinion, is to find widgets that have functions similar to what you want to achieve, and to see how they do it.
