Movie files sending you to weird websites

Hey, I just downloaded an anime mpeg, but when I played it, not only did it open in Windows Media Player, but the stupid thing started up Internet Explorer and sent me to this anime website with popups galore. wtf? Since when can mpegs do this?? But more importantly, how do I stop it? Is it embedded or something?? What are the options for disabling this nonsense?

There is a security issue with Windows Media Player involving the ability to rename ASF files as MPG files, disguising their true nature while retaining their ability to connect to external web sites and execute potentially malicious code. You may want to check the Windows update site to make sure you’re up to date on all the latest security patches.