leeland, the problem is probably not windows media player itself, but a problem with the installed codecs. An avi is not a standard format in the way that an mpeg is. It is used as a wrapper for video information using many methods of compressing and decompressing (codecs). Probably, you do not have the correct codec for that file. Try to find out what it uses, then download the appropriate codec.
Even if you did get an avi -> mpeg program, it would still require the correct codec.