You're most likely missing some of the codecs required to decode the video (or the audio part of the video).

IMPORTANT: These instructions are a few years old. However, we have a newer, more detailed and eloquent set of instructions for AVI files in our Guides section. Click here to read our proper How to play AVI files article.

First of all, we'd recommend that do not download and install any of the "video codec packs". These packs usually install hundreds of useless codecs (not useless, but ones that you don't need) and typically cause severe problems with your system in terms of additional unstability of your system, etc.

As starters, we would recommend that you install these codecs:

FFDSHOW (free, open source decoder for various formats, including DivX, XviD, etc)
AC3Filter (free, open source decoder for surround audio)

...and also install this player:

Media Player Classic (free, open sourced media player that's light-weight and supports tons of formats off the box)