First of all, .AVI is a container, NOT a video type. AVI could be anything from Windows Media Video, to Divx, DV, XVid, Canopus, etc.
WMV can only be windows media video, and usually comes tagged along with protection schemes.
Tell me what you need this for. I will tell you first though, if you prefer the look of Windows Media video, you can easily just have that as the video source in an avi file.
I can't think of a reason you'd actually NEED a file to be .wmv over .avi, unless of course you're confusing codecs from containers.
If you have a DV/miniDV AVI (or whatever you have) I can tell you how to encode that into windows media format, but that doesn't necessarily have to be .WMV, it could still be .AVI.