What you'll actually need to look into is DirectShow, the general-purpose media (both audio and video) library for Windows. It used to be part of DirectX but several years ago it branched off and became part of the Windows (Platform) SDK. I should also point out here that it's now been deprecated since Windows Vista in favour of Media Foundation. From what I've read it's a much better library (DirectShow is hell for complex tasks), but unfortunately it's not really feasible to only target Media Foundation at the moment because of the lack of support for XP and earlier...
The best I can really do is point you to DirectShow.NET, a .NET wrapper library for DirectShow, which is rather stable and well tested at the moment. It includes various samples which should help you get going, but by no means will it be a straightforward solution. Also, I strongly recommend you take a look at this CodeProject article/sample application. It deals with both webcam video capture and video playback from files (including WMV). A bit of playing around with that, and learning how to do frame seeking/single frame capture (I think that project might even some code to do that) should get you what you need. Perhaps you'll even find the precise solution somewhere within the DirectShow.NET samples of that CodeProject app.
Of course, I would suggest an easier solution if I could here, but you're pretty much stuck with the horribleness that is DirectShow for the moment. Good luck anyway!