Not really, just by opening a web browser you're vulnerable by opening ports, in fact just switching the computer on is a risk with the Internet connected all the time, provided your security is up to date you should be OK.
I agree with octal, there's too much paranoia around. If you stay current with MS high-priority updates and virus updates for your AV then there's little to worry about. I do this and use ZoneAlarm and Spybot's immunize and never get anything on my system apart from a handful of tracking cookies.
with MP3 tracks and video clips, because they have become so commonplace - links to audio and visual material are to be found all over the place. Anyone involved in exploiting vulnerabilities would be stupid if they didn't see media players as an obvious target.
Fortunately many of the loopholes are discovered and disclosed before any malicious use can be made of them, so patches can be issued, as Chegs ®™ points out - nevertheless, a degree of caution is advisable.
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