Your snippet is not complete. But nothing good will happen when you start with "Microsoft.Win32.". Begin with Project + Add Reference, Browse tab and select c:\windows\system32\wmp.dll. That adds a com interop wrapper with the namespace name "WMPLib". IntelliSense will now spring to life and show you the classes in that namespace. Make it resemble this:
Public Class Form1
Friend WithEvents player As WMPLib.WindowsMediaPlayer
Public Sub New()
InitializeComponent()
player = New WMPLib.WindowsMediaPlayer
End Sub
Private Sub player_StatusChange() Handles player.StatusChange
' A sample event handler...
End Sub
End Class