The TCPMP (The Core Pocket Multimedia Player) is an open source player which can be used with the Colibri module. In order to make it work, a TCPMP plugin is needed which currently only support Win CE 5.
For pricing see Toradex Windows CE Features.
There is a demo version available with a Toradex watermark. http://files.toradex.com/Colibri/WinCE/Colibri_Software/TCPMP/
To start the TCPMP from your VB program as streaming you can just call like:
See also: Microsoft MSDN Help