You may want to look at
http://www.codeproject.com/vb/interop/VB6formsinNET.asp
You need "your main form" to be an mdi container , and then you can set the external app as a "child" wich will display itself in the MDI container area.
Hope this helps.
[EDIT]
If your looking in to emeding media player, quicktime video, etc.. you can use add thier veiw panels as a control (much like a panel) on your form with out embeding the entire app and still be able to control the audio/video playback. This will also save resources as it wont have to load the entire app to play the media.
[/EDIT]