e.g. [link|http://seclists.org/bugtraq/2005/Jan/0130.html|seclists] and [link|http://www.vnunet.com/vnunet/news/2126479/malicious-trojan-infects-windows-media-player|vnunet].
The things I found I thought had little if anything to do with DRM.
I'd look around bugtraq - e.g. here's a list of threads on [link|http://marc.info/?l=bugtraq&w=2&r=1&s=wmp&q=b|wmp]. AFAIK, most of the windows security issues eventually show up there.