You can run as many simultaneous searches as you like, but you're limited by the Max Searches setting in Options. I think the default is 5 but I've changed mine to 8.

re WMVs, yes, the infected files will "force" you to the 'bad' web-site, and if it loads-up at all then you're in trouble; closing the window after-the-fact is too late. You're running the latest Windows Updates, right? And you're using Firefox www.mozilla.org as your default browser, right?

re MP3s, in theory you can get infected by them but it's more theoretical than anything. What I heard was that someone found a way to cause an MP3 to hack Winamp; all the people using Windows Media Player etc are immune. And, even with Winamp, all you have to do is make sure you're running the latest version and this hack won't work. Because it's so easy to avoid, I don't think anyone's really tried to spread viruses via MP3s.