hmmm SetParent(...) actually works. I just created a MDIParent Form in my application, loaded the engine, and used SetParent(a7.EngVar.hWnd,myform.Handle);
You do have to do a bit of sizing and positioning, but i use SetWindowPos, which can perform sizing, positioning and Z-order editing. It doesn't seem that bad.
Here is a screeny...
I'm sure there is a Win32 function that can remove the Title and close button from the engine window... I'll try and find that now...