OK - that's the kind of information that would have been useful at the start of the thread.
Check out "Videora" - it's a video converter for a Windows computer.
The issue here is that AVI is not a format - it's container and as such can be used to hold all sorts of different file formats. The iPod utilises two standard video formats - MPEG-4 and H.264 - Videora should be able to convert AVI files into either of these two formats.
Once the file is ready make sure you drag it into your iTunes library (drag it into the open iTunes window) and then you can put it on the iPhone.