.avi isn't really a single file type, it's basically a container, and the stuff inside can be any of a number of different codecs. Your options here are either to install all the necessary codecs (once you figure out exactly what you need), or to use something like VLC player, which basically plays everything you can throw at it.
I just downloaded and installed Perian based on this recommendation, and I can get some files from this site to play after download, but I can't play them on the site. I get a Q?.