I have download a movie and it is very small and when I click it it take me to a web site and tell me to download a code is this ok or is it a virus

most likely a virus/trojan...NEVER keep a video that goes online and sets you up to download a 'special' codec...and you might seriously think about using your firewall (you've got one I hope...) to block all media players from going online...

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Thank you for the fast answer