The Microsoft WebBrowser control makes it easy for you to create your own web browser, however documentation on it is sparse... This tutorial gets you started on its main features.
If you will be installing a program which uses the WebBrowser control, you do not need to distribute any files. Many people think that you must distribute the SHDOCVW.DLL file, however this is not the case. If your user has Internet Explorer installed, he/she will already have this file. If your users do not have Internet Explorer installed, then they cannot use your program until they do. Simply distributing the SHDOCVW.DLL file to a user without IE will not work! This is the main condition that Microsoft sets out if you decide to use the WebBrowser control.