Immediately run a full system scan using a trusted antivirus or an anti-malware solution to check for deep-seated trojans.

You may be prompted to download a specific "codec" or "special media player" to view the video. This is a common delivery method for adware and browser hijackers.

Sites hosting these files often log your IP address or require you to sign up with an email address.

Delete it immediately from your hard drive and empty your recycling bin.