PIE can play video/audio if you have the right COM objects in place. The WMP (windows media player) can be embeded into PIE html or directly into your native app.
See also Using the Windows Media Player Control in a web page
Sample page holds something like this:
<OBJECT ID="PlayerOCX" WIDTH=160 HEIGHT=192 classid="CLSID:22D6F312-B0F6-11D0-94AB-0080C74C7E95"
standby="Loading Microsoft Windows Media Player components..." type="application/x-oleobject">
<PARAM NAME="Filename" VALUE="\My Documents\wm_sample.wmv">
<PARAM NAME="Volume" VALUE="-600">
<PARAM NAME="Autostart" VALUE="1">
<PARAM NAME="PlayCount" VALUE="1">
<PARAM NAME="showStatus" VALUE="1">
More with a search of "pocket internet explorer embed wmp"