I just started downloading movies for DVD players. I havent figured out how to view them before burning them. My Windows Media Player does not recognize .avi, .mov etc etc. Do I need plug-ins? Where do I get them and what do I need? Can I burn a movie on CD (not DVD) and play them - is their a conversion program or something?

Go get the latest WMP v9. Your player should play AVI's. Check the 'preferences' tab>'file types'> in the player. Check avi box.
Sure you can burn a movie to a cdr. It will just be the same file (avi) and you can open it with WMP. It won't 'autostart' if thats what your asking. If you have the right software, you can make a 'video cd', which might/might not play in dvd players. Nero does this rather well!

.MOV is a Quicktime Player format. Go get the latest Quicktime player and your all set!

I do have 9.0 and yes I have all the different extensions checked off. I just tried opening a .avi file and this was the error message: Windows Media Player encountered an unknown error. I tried a couple of different downloads and got this message so its not just the one file creating a problem. What next>

Try these codecs: http://www.divx-digest.com/software/nimo_pack.html
that's pretty porr if it can't even play the most basic of formats. Depending on how you intend to burn them you could also try VLC which has inbuilt codecs & plays all files except the odd wmv file: http://www.videolan.org/vlc/ (choose the nearest mirror site to you.)