WMV files

Hello!

Is it possible to get infected by a WMV file? As far as I know that’s only possible if this file includes a link to a malicious site. But how does my PC connect to that site then, through Windows Media Player or some other way? Am I safe if I run my Windows Media Player sandboxed then?

Thank you!

http://www.esecurityplanet.com/patches/article.php/3457451/Trojan+Exploits+Windows+DRM.htm