.avi really is just a container format for a video file -- there are countless different compression formats that may be used with an AVI, and only a handful of these formats are recognized by windows out of the box.
Many others require a 3rd party codec to be installed before mediaplayer understands it. The most common ones you'll run into on the internet that windows doesn't understand by itself are XVID and DIVX. Both have free codecs that you can download for playing these files. (Divx also comes in a 'professional' version that allows you to create your own divx files, they do charge for that.
There are some programs that will look at a file and tell you which codec is necesary to play it. MrTricks mentioned Avicodec, I've used 'Codec Finder' myself.
Many others require a 3rd party codec to be installed before mediaplayer understands it. The most common ones you'll run into on the internet that windows doesn't understand by itself are XVID and DIVX. Both have free codecs that you can download for playing these files. (Divx also comes in a 'professional' version that allows you to create your own divx files, they do charge for that.
There are some programs that will look at a file and tell you which codec is necesary to play it. MrTricks mentioned Avicodec, I've used 'Codec Finder' myself.