Hi Anna,
Yes it is possible, with version 6 at least...
Basically you add a UIR Control for the type of activeX control that you require... In this case Create>ActiveX>windows media player. This will place the graphical part of the activeX control on the UIR... If it doesn't automatically take you into the activeX controller wizard, start this from tools>activeX controller Wizard, and follow the instructions again selecting the windows media player... This wizard does the hard work of generating an instrument driver to interface CVI with the activeX component...
I've attached a bit of code & uir as a demo, but you will have to generate the instrument driver part as described above...
Hope this helps
JB