stream video into a standalone C++ desktop app

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I have a native C++ Windows app that needs to display videos from a streaming server. It's a private server, but similar to YouTube -- upload a video, it converts(?) the video, then gives you HTML code to play the video within a web page.

I first tried embedding a Windows Media Player ActiveX control into a MFC app, but when I direct WMP to the URL, it refuses to play the video. WMP won't play YouTube videos either, so I assume both servers 'wrap' the video somehow (?) so it will only play within a browser.

I thought of using the Microsoft Web Browser ActiveX control, but I understand Microsoft has dropped support for it, and it'll be removed from future Windows versions. My app has the requirement that it be a single-file distribution -- no DLL dependencies other than those that ship with Windows. It's currently generic C++, but I can use MFC or some other framework if needed.

These are my questions:

  1. Using the embed URL, can I tell what format the video is in?
  2. Is there any way I can use WMP to directly stream videos like this?
  3. If I have to embed a web browser, what is the best route to take?
  4. In the worst case, if I have to read the raw video via HTTP and display it frame-by-frame, is this possible, or do these streaming servers wrap the video in a way that makes this unfeasible?
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