Windows Media Files could install Spyware

Risk Your PC’s Health for a Song?
http://www.pcworld.com/news/article/0,aid,119016,00.asp
Protect Yourself From Audio Adware
http://www.pcworld.com/news/article/0,aid,119063,00.asp
These articles don’t go into a lot of detail. It appears that via the DRM feature in Windows Media Player a malicious content provider could cause Media Player to go to a website of their choosing when you play the file. It uses Internet Explorer to to open a webpage of the authors choosing (even if that is not your primary browser). It will load whatever code is there, including exploits for Internet Explorer that could be used to install spyware.
Vulnerabilities in Internet Explorer and most applications require the user to follow a URL to be exploited, this provides a new vector of attack. It is likely much easier to socially engineer a user to open a Windows Media File than to open a URL. The old adage about not opening unexpected attachments is true. One wonders if this is something antivirus vendors will even be able to stop since it is basically just calling a URL.