This forum is meant for C++ language questions using Visual Studio 2003/5. Please use the MSDN discussion groups for Multimedia and VC6 questions. Eineros posted a resource for finding the right place to go at the top of the forum listing.
If WMPlayer is an ActiveX object (which I believe it is) and if VS++ Express Studio 2005 supports MFC (which has ActiveX container support), then yes. There are newsgroups that talk about ActiveX and MFC programming.