This issue has been discover on November 20, 2001 regarding WPM .ASF processor contain unchecked buffer.
Title: Windows Media Player .ASF Processor Contains Unchecked Buffer
Date: 20 November 2001
Software: Windows Media Player
Impact: Run code of attacker's choice
Max Risk: Critical
Patch availibility: Yes
UPDATE: There's no patch for WindowsXP yet. And also, thanks ahodes1 for mentioning it in the forum.
Download: Run Windows Update (for XP user)