An AVI file can be encoded with an of a number of codecs. Windows Media player comes equipped to play plain uncompressed AVI files, and any encoded with a Microsoft codec. Unfortunately, hardly any AVI files are "normal" AVI files any more. The vast majority of them use DivX codecs which will not play in a Windows Media Player unless you install the correct DivX codec.
My advice is to do a search in Yahoo for NIMO CODEC PACK, and download that. Once you've installed that you should be able to play most AVI types, so give it a go.