I've heard of this happening... if it can happen with .jpeg images, a media file can do it too. One more reason to scan every single file that comes into one's PC with an up-to-date virus scanner.
wide range? why not say nearly everything. viruses can be really small and can fit like anywhere depending on its complexity. of course there are also really long viruses, that are really complex, but i dont think you need to worry about getting one of those in a music download or whatever your doing.
Definitely. Don't download any suspicions looking files. If a downloaded file displays popups when you open it, delete it and run an anti virus program right away.