Yes it's quite common on these players.
I had one the player's firmware partition myself, it was a low level threat, just make sure your antivirus software is up to date, usually you can copy any good bits from the cd and then throw it away if you want.
The virus is usually launched by "autorun.inf" on the cd or player, it's always best to switch autoplay OFF in any case for security.
Not sure why it's done, maybe somebody in the factory doesn't like their employer! , maybe..
I've found in most cases the software on the cd is generic and for the wrong player anyway, you can get most tools and software in the downloads section of this site and even more from
http://www.mympxplayer.org