Can someone please enlighten me on this feature of WMP 10?

Everything I read put out by Microsoft tries to convince me that this is for my benefit. But I get a very uncomfortable feeling when I stream a video clip and up pops a window telling me that my browser settings have been reset. It looks like some website might be installing something in my computer. I do not feel good about this feature. For the time being I have disabled this feature. Are my fears justified or is this feature harmless?

Thanks.