You need the right codecs to view the video with WMP:
http://nimo.titanesk.com/
To burn a .avi file on a DVD-R you have to convert the file in to different format, AFAIK Nero is offering plug-ins but I believe they cost extra. in future you should look for .mpg files... btw if you convert the .avi to a SVCD you can burn it on a normal CD its cheaper.
Morgwen