What kind of media file is it?
Did you acquire the file from a trusted resource? Many, many media files downloaded from peer to peer networks like Limewire contain malicious code that attempts to download "codecs" which are in fact malware. They take advantage of Windows Media Player's default setting to automatically download codecs from whatever URL is specified in the media file. 99% there isn't even any actual medai in the files to begin with.
You might try downloading VLC Media Player
. It's a free player (under the GNU GPL) that plays pretty much every format known to man right out of the box.