Yes some videos & audio files that have the capacity for DRM do get loaded up with links to suspicious sites. You should never click yes to allow it to send you anywhere. Some are Phishing type sites. VLC - (click on link) _ (choose nearest mirror site) is a player that will not allow such popups & is a reliable player for videos & also many audio formats.
More about DRM here What you should know about WMA/WMV Files