It's just an applet that allows you to view the streaming video and sound. Your firewall probably warned you that it could threaten your system.
If you don't trust the souce, and don't know what it is, it's usually a good thing to deny access to your hard drive. As far as I know, all NBA.com (or Sixers.com) does is download that applet, which you can use to watch any compatible streaming video, and a couple of cookies.
I used to have all kinds of problems with my browser, thanks to tracking cookies and other malware that hijacks your pc. Mozilla Firefox seems to block most things by default, and of course I run avast continuously to provice virus protection.
I had media player installed on my PC when I bought it, but there are allways enhancements to these apps, as the standard evolves. Just make sure you can trust the souce, and you should be ok.