Come Again?

If you're unfortunate enough, you might have noticed that Windows will sometimes automatically delete files such as MP3s when you try to open them, particularly after receiving them over MSN Messenger. I just had that happen to me, but it wasn't the first time I've seen it. Following the link to help, after Windows notifies you that it has unilaterally decided to delete (and already has deleted) the file, supplies this information:

Sending and reading e-mail is one of the most popular activities on the Internet. The widespread use of this technology, however, makes it a primary way for computer viruses to spread. Because viruses and other security threats are often contained in e-mail attachments, Microsoft Windows XP Service Pack 2 (SP2) helps protect your computer by blocking e-mail attachments that might be harmful.

In most cases, Windows XP SP2 will block files that have the potential to harm your computer if they come to you through e-mail or other communication programs. Windows will block these files if your program is running in a strong security mode. Most files that contain script or code that could run without your permission will be blocked. Some common examples of this file type are those with file names that end in .exe, .bat, and .js.

Blocking these files is very important to do, since directly opening files of this type poses a risk to your computer and personal data.

This is just baiting the Slashdot crowd. Is there a known but unfixed (major) security vulnerability in Windows Media Player that allows a malicious MP3 to execute script or executable code just by being listened to? Did the RIAA play a part in this design decision?