How pictures and videos are usually loaded in Memory?
Just having malicious instructions loaded into memory is not a problem in itself.  Instructions (code) is just binary, so it might be stored in the data segment.

Where it becomes a problem is if something causes that code to be executed.  It's not clear why a video player would jump to data inside an image.  If it had a security vulnerability, that could happen, but if it has a vulnerability, almost by definition bad things could happen, so that's not really saying much.