Clicking a bad link?

[JiffyPop100]

I dont know much about this stuff at all so this may be a stupid question.

Is there any way someone can access your computer or put a keylogger on it or whatever these hackers do, just by you clinking a link?

If you click some .exe file and run it, well thats obvious even to an idiot like me.....but what if someone uploads a video of them playing poker and you download the video and watch it? Can they do anything to my computer that way?

More specifically, the video is loaded at megaupload.com...is this a reputable and normal site?