could the media files contain harmful programs or virus or spywares?

saveing s

New member
I used to download media files and clips from a site; the files extension includes (avi, wmv ,etc) and last week I tried to access the site then on the first page a message that say that the site is blocked because it use to contain harmful contents that might steal our personal information ,, but the site always upload the files on third parties web hosting sites such as raphidshare ,etc ,,, so could those media files contain harmful programs or virus or spywares ?? and if so what could I do to remove them ?
 
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