I haven't worked with Windows Media Player and don't even have a good idea as to what it is. Therefore, anything I say may be utterly irrelevant.

Oddly, just in the last week I had cause to write a function to create pictureboxes dynamically. The handlers are relatively few, and the properties are equally meager, but it suited my needs. Here's what the function looked like:
Code:
Private Function CreatePB(ByVal top As Integer, ByVal left As Integer, ByVal height As Integer, ByVal width As Integer, ByVal name As String) As PictureBox
        Dim pb = New PictureBox

        pb.Name = name
        pb.Top = top
        pb.Left = left
        pb.Width = width
        pb.Height = height
        pb.AllowDrop = True
        pb.BackColor = Color.LightGray
        pb.SizeMode = PictureBoxSizeMode.StretchImage

        AddHandler pb.MouseDown, AddressOf pbMouseDown
        AddHandler pb.DragDrop, AddressOf pbDragDrop
        AddHandler pb.DragEnter, AddressOf pbDragEnter

        Return pb
    End Function
All the pictureboxes created like this used the same event handlers for drag and drop functionality.

One thing to keep in mind is that you would want to cap the maximum number of picture box controls, or you will have them all over the place, which will become a nightmare.