Tuyoshi,
I have in mind now some alternatives for you. The first two (MediaElement and WPF MediaKit) are specific to WPF. The last two (especially the last one I'm tending to tell you is the best) work in Windows Forms as well.
MediaElement
If you are considering using WPF and the native component (MediaElement) to play media, keep in mind that it works very well if you are going to play only one media. With more than one media playing, or 1080p media in stretch for more than one monitor, it starts to cause stuttering.
Underneath the wipes it creates a Windows Media ActiveX and decides between DirectShow and Media Foundation. In the case of no codec installed, in windows 7 and 8, it will use the native codec windows (Microsoft DTV-DVD Video Decoder).
WPF MediaKit
This is an opensource library that, underneath the cloths, also uses DirectShow and Media Foundation. It has an element that replaces the WPF MediaElement.
It seems to have a slightly faster implementation and brings good performance with two monitors and 1080p videos. With three monitors playing three 1080p videos, it will have a bit of stuttering depending on your hardware / system configuration.
AxWindowsMediaPlayer
Windows Media Player can be instantiated via ActiveX and used inside the application (works in Windows Forms as well). With three monitors, I noticed a lot of keyframes lost and it sure was the worst option.
DirectShow + MediaFoundation
That, to me, is the best solution. You can use the DirectShow.Net libraries and MediaFoundation.Net libraries.
They allow you to specifically point out which codec you want to use. If you want to get a sense of how to build your application on top of them, take a look at GraphEdit or GraphStudio, which is software that mounts the filter chart used to render a video.
At the end of the day, everything depends on how much your hardware can handle and which codecs you will have installed. Remembering that windows already comes with a decoder of some types, playing many mp4, avi and mpg out-of-the-box, but does not provide a demultiplexer for you to use, so you would have to at least register a demux. If you go that way, take a look at GDCL's mp4demux.
(Sorry for not linking to you, but I do not have enough reputation for this)