Invoke VideoGrabber->SetParentWindow(WindowHandle) to Pass the handle of the Cwnd window classe in which the video must be displayed.
E.g.:

m_VideoGrabber = new CVideoGrabber(this);
m_VideoGrabber->SetParentWindow (TheWindow->GetSafeHwnd());
m_VideoGrabber->SetVideoSource (vs_IPCamera);
m_VideoGrabber->SetIPCameraURL (“rtsp://…”);
m_VideoGrabber->StartPreview();