A guy aka 'NetMaster' has posted a DirectShow wrapper he has written at .
DirectShow.NET
There is loads of useful stuff on this subject by the same author and others available via links from the site.
One other possible alternative dependent on the project is to use Windows Media 9 SDK available from MSDN. This has loads of stuff for encoding, playing, streaming media in C#. They have released a Primary Interop Assembly (PIA) for the SDK, which comes with the downloads, which makes it really nice to program in