A flaw exists in Windows Media Player that allows a malicious asx file to be executed running javascript in a local zone. Tested against MSDXM.DLL file version 6.4.09.1128 on Microsoft Windows 2000.
You can download this advisory from the following link: https://packetstormsecurity.com/files/download/33765/winmediaExec.txt
Source: https://packetstormsecurity.com/files/33765/winmediaExec.txt.html