The trouble is with AVI's.
AVI is not a format. It is just a wrapper for the real format, and the real format can use any codec. THis includes common stuff like mpg, wm9, divx and vxid, but can also contain thousands of any number of weird codecs. I mostly use the Huffy and DV codecs for AVI, but there is no standard.
So, the short answer is you don't have the right codec. In the codec section of www.dvdrhelp.com
is files you can download that contain nearly all of the common codecs you might see.
However, the longer answer is you might have the right codec, but one codec might be interfering with another codec. This happens because codecs like DIVX and XVID are actually hacked versions of MPEG-4, which is what WM9 is based on. They tend to use the same DLLs, so when you upgrade one (ie wm8 to wm9), then it tends to corrupt the DIVX and XVID codecs.
So, first try downloading a set of codecs at www.dvdrhelp.com
Then try download a new player. I'd recommend "zoom".
Then try reinstalling wm9... or anything else that might be interfering.
As a last resort, try converting it to another format (with TMPenc, or similar)