Every once in a while security researchers would discover sophisticated exploits that would allow malwares to take over your computer via multimedia files, but those are actually rarely exploited in the wild by run off the mill malwares.

Unless you’re an important person being targeted by hackers and three letter agencies, your biggest source of threat is running infected programs from untrusted sources, e.g. cracks downloaded from random torrents or warez sites, shady sites serving ads that trick you to run some executables, etc.