I took a look at the MSDN documentation and it looks like you can not use the Animation Control to play MPEG video, you seem to have two choices: 1. DirectShow. 2 The newer Microsoft Media Foundation.
Both choices based on COM (and not ActiveX as I stated earlier).
As for making sure your users can run your application, see this page on Building DirectShow Applications which answers that questions for DirectShow. For Microsoft Media Foundation your users need to be running MS Vista or later.