It depends on the content. If you're looking at a downloaded movie, or most pictures*, then your computer is not reference other places on the internet. If you're looking at a saved web page or an HTML document, it could be
possibly be reaching out and touching somewhere else.
*There were some instances of deliberately crafted pictures that broke the normal conventions and made use of bugs in browsers or viewers which could inject malware into your computer, before the software writers fixed those problems.
(I don't dispute what FrankR said about DRM videos; I haven't encountered one yet, but I've read about them).