Could a video or an audio file be used to spread malware?
Yes, for certain kinds of media file.
In addition to everything Adnan wrote, it is possible for Windows Media (ASF/WMV/WMA) files to launch web pages. The idea is that for DRM-impaired files it can send you to a site to buy a licence to view it. Of course it can also send you the usual web threats of browser/plugin exploits, fake codecs and other scams.
Abuse of this misfeature was common in the mid-00s though seemingly not so much now. You also get the opportunity to turn the feature off now at WMP first run, though it is on by default.
This threat doesn't apply to the common open file formats like the MPEG family, but unfortunately WMP will happily open a WMV file that has been mislabelled as
.mp4, so you can't rely on the apparent-filetype.