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Does the HttpHeader have to be send on the same request as the request the codec sends? In that case you HAVE to use a local proxy or implement a directhshow source filter. If you can send it just in a standalone single request apart from the playback, you can override the Player to create a new one (as I did in OnlineVideos)

PS: I didn't know the MyTrailers plugin had a proxy as well  You can check OnlineVideos sources, it also has a local proxy for issues like you describe.