It''s real easy, first you need the hwnd from the window you want inside another window.If the window you want is from a different application, you can use FindWindow to get it, if its a window from the current application, you can figure out a way to get it without FindWindow (shouldn''t be hard; if worst comes to worst you can always use a global).FindWindow works like this

HWND FindWindow(char *windowclassname,char *windowtitle)

you can use the spy program to find out class names for other programs.Also note this will only find the first window with the specified class name; if multiple windows exist with the same class name, it''ll only return the first one it finds (it searches in z-order, so it would be the topmost window of the same class).
Now you have the hwnd, use the SetParent function

HWND SetParent(HWND window,HWND newparent)

window is the window you want to be inside your window, and newparent is your window.The return HWND is the window''s old parent window, which you can use to un-set it with.You make also want to use MoveWindow to position it inside your window.
As far as slowing things down, it shouldn''t; The application''s thread will still be different from yours.
If the window does not yet exist (i.e., your program is executing the program) you can use ShellExecute to run the program and specify your window as the parent window.

Good luck