Not answering to the main problem, in relation to "all formats": this is not defined by Windows Media Player itself.
Actually, by default, the repertoire of available media formats and codecs is ridiculously narrow. Usually, you need to install a lot more, which is done on the system (please see my comment to the answer).
I would highly recommend, for example, freeware K-Lite Codec Pack:
http://en.wikipedia.org/wiki/K-Lite_Codec_Pack[
^],
http://codecguide.com/[
^].
It comes with alternative player, one of the best, "Windows Media Player Classic Home Cinema". Compared to it, Windows Media Player's features look ridiculous. However, I don't know the components based on it.
You can use a different component based on Video LAN, or VCL player:
http://en.wikipedia.org/wiki/VLC_media_player[
^],
https://videolan.org/vlc/[
^].
This one does not depend on installed codecs and can play the most of the kinds of media. How to use it in your code? It is open source, provides the API, and there are .NET wrappers for this API. You can use one of them:
https://wiki.videolan.org/C_Sharp/[
^].
So, try some of them out. It may help to solve your main problem, too.
Good luck,
—SA