Right after the zero day exploit for Word was announced. We have this from eEye Digital security:
The Windows Media Player library WMVCORE.DLL contains a potentially exploitable heap buffer overflow in its handling of “REF HREF” URLs within ASX files. If the URL contains an unrecognized protocol (only “file”, “ftp”, “http”, “https”, “mms”, “mmst”, “mmsu”, “rtsp”, “rtspt”, and “rtspu” appear to be recognized), the function at 7D7A8F27 in WMVCORE.DLL version 9.0.0.3250, and at 086E586E in WMVCORE.DLL version 10.0.0.3802, will create a copy of the string in which the protocol is replaced with “mms”. A heap buffer is allocated, the string “mms” is copied into it, and then everything after and including “://” in the “REF HREF” URL is concatenated using wcsncat.
Unfortunately, the heap buffer for the new “mms” URL is allocated to the size of the “REF HREF” URL, and even more unfortunately, the length of the input string being passed to wcsncat is supplied as the character count, effectively causing wcsncat to behave identically to wcscat. As a result, a two- or four-byte heap overflow is possible if the “REF HREF” URL features a protocol shorter than three characters (the length of “mms”).
Single-letter protocols (such as “a://”) are rejected, but this restriction can be circumvented by encoding the protocol (“%61://”), thereby making a four-byte overflow possible.
Exploitability due to the corruption of the adjacent heap block’s header is assumed likely but research is ongoing.
Microsoft has not announced the vulnerability yet, nor do they have a fix available.
The best way to protect against it right now is to open windows explorer and click on the tools menu, then folder options
Click on the file types tab, and scroll down to “ASX”. Either delete it (Windows will no longer know what to do with ASX files – BE CAREFUL! -, or change to another program.