<p>I need to launch a media file from a URL from within my c# .NET application. Is there any way to do this natively in .NET? I don't need an embedded player, I just need the default player to launch. I have tried </p>

<pre><code>System.Diagnostics.Process.Start("File URL");
</code></pre>

<p>but it launches the default browser and downloads the file, instead of attempting to play it in WMP/VLC/whatever the default media player is. Any ideas?</p>

If you enter an URL it will be handled with the program registered to that URL format, in your case the default web browser.
What format are the media in? You can get associated program for an extension and then run that program with the url as parameter.
See:
Windows: List and Launch applications associated with an extension
So if your media is for example .MP3, then find the assoicated program for .MP3 (using the code in the link above) and pass the url as a parameter to that program.