Yes, it can be done for example through directx. You should locate some control for example picturebox on the form. This picturebox has a name PictureBox1. You should add Microsoft.DirectX.AudioVideoPlayback library to the project and then import it
Then you should write some code :
Dim videoFile As New Video("Here the full path to the media file")
videoFile.Owner = PictureBox1
videoFile.Play()
The supported file extentions depend on installed video codacks in your system.