It is possible.
There is already a built in media player, or it uses windows media shell. There is also a thing that sometimes prompts you if a file is corrupt.

But I doubt if this will be a priority for the programmers, unless they somehow do all these other requests and get really bored. Most people already know to be careful of applications. If I want an application I will scan it with my own anti-virus software.

You can even attach it to an email and it should scan it. I know yahoo does.