Microsoft Security Advisory MS01-010 - Windows Media Player 7 has a vulnerability in the skins feature which manifests itself when a Windows Media Player skin (.WMZ) file is downloaded from an untrusted website. Java code can be used to read and browse files on a local machine. The vulnerability stems from the fact that "skins" are downloaded to a known location on a victim's computer and are stored in a .zip package. If the .zip package contained a Java class (.class) file, any Java code in this class can be executed under the local computer security zone, taking arbitrary action on the user's machine. Microsoft FAQ on this issue available here.
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