Where you need to go is DivX.com, and download the Mac divx codecs, this will enable you to play most AVI files in OS X. In fact it will let you play any DivX AVI that uses MP3 Audio, which is about 90%.
You will come across the odd one that wont play though, and that is usually because the AVI has been encoded with WMA Audio instead of MP3.
There is also a handy utility you can get with the third party DviX Codecs from Jamby called AVI2MOV, which converts AVI files to QT format. I will see if I can find that one and post you a link.
Windows Media Player wont play AVI files correctly. At least my copy doesnt. In fact WMP for mac has problems playing a lot of formats that it really shouldn't have problems with. The only thing it is good for really is streaming audio/video.
Hope this helps.