That behavior means that you have the audio codec but not the video codec.
Based on the .avi media container, I can safely guess that the video codec needed is h.263. More commonly, this is called "DivX" or "Xvid", although there are several codec proudcts that would work.
For universal codec coverage, I suggested you download and install "ffdshow", which includes many many different audio and video codecs. Any DirectShow media player, including Windows Media Player, can and will make use of these codecs.