My solution is this, regarding privacy:
install the home version of
Zone Alarm which is a firewall which is FREE to use for the home user. Then you can choose exactly which of your .exes and .coms you want to be able to acces your LAN and the internet, and which ones are allowed to act as servers.
Windows Media Player is not alone you know, Real Networks have built this in to their software too, although with them, the data is anonymous, supposedly.
Anyway, what you do is, you install zonealarm and set all suspect programs to access the internet but not to act as servers. This way the programs can only
receive data but not
send any data.
You can then rest assured that not a single datum relating to you is being sent out of your computer without your knowledge, and unless you are a business user, it's all free.
Now, if you want to reclaim the disk space that this log of movies takes up, and make 100% certain that noone can read said log by physically using your computer, i can't help you. It will be fairly simple if you know how though, i imagine, over to the technical dudes!
.........