I then belive we would have to see more of your code to be able to help you or as you can see from my example that uses the MMC/MCI control, I pass the hWnd of a picture box to get it to display inside of my program. If I did not, it would spawn its own window. Perhaps you need to look at the hwndCallback closer to see if that is where you need to place your hWnd to the object you want to display to video in.
I hope this helps and good luck