Looks like Crackers can get access to to your computer through Windows Media.
http://www.eweek.com/article2/0,1759,1749993,00.aspSecurity researchers have detected the appearance of two new Trojans, Trj/WmvDownloader.A and Trj/WmvDownloader.B, in video files circulating on P2P (peer-to-peer) networks.
According to Panda Software, both Trojans take advantage of the new Windows anti-piracy technology to trick users into downloading spyware and adware applications.
"When a user tries to play a protected Windows media file, this technology demands a valid license. If the license is not stored on the computer, the application will look for it on the Internet, so that the user can acquire it directly or buy it," Panda Software explained.