In 2007, development of MPC was abandoned. May be thats what Secunia is telling you, that you wont get any updates of this product. Which means that if there are any security flaws found n product in future you wont have updates. So start using a product which is still being developed or supported. Although there are no known security problems with MPC.
Open source community has started a new player, picking right after MPC. Its called Media Player Classic - Home Cinema. Latest version released was in August 2009. ( http://mpc-hc.sourceforge.net/
You can also try the open source VLC Media Player which does not require you to install any external codecs. ( http://www.videolan.org/vlc/