To set volume:
string command = "setaudio MediaFile volume to " + volume.ToString();
error = mciSendString(Pcommand, null, 0, IntPtr.Zero);
where volume is an int between 0 and 1000
There is a whole list of mci command strings on in the multimedia reference on msdn at:
set command
There is also a good example project on CodeProject that does most of the tings you are trying to do at: Simple MCI Player
HTH
Paul