Same problem here but I am using 2.0. I created a project, designated 2.0 platform, added reference to OpenNetCF.WindowsMobile.Media, open Toolbox, no tool.
Click the OpenNetCF.WindowsMobile.Media node in tree, get leaf with WindowsMediaPlayerControl, drag to toolbox, icon becomes plus-sign(meaning drop is possible), drop, no changes.
Ideas?
Thanks
Eric