I'm not sure of how much help this will be, but if you use Divx Doctor you can convert the .avi files to .mov, but there is no 100 percent guarentee they will play fine once converted.
As for the .mpg files, possibly this is in MPEG-2 video, or the file was encoded in windows. I have had this happen to me often when I try to download a specific lengthy file, and the video will not open. I'm not sure how to get around it, though. 🙁