According to Microsoft Official Website, Windows Media Player does support playing AVI videos. If your Windows Media Player won't play AVI, two reasons cause the issue:
Reason one: Windows Media Player doesn't support the video codec in AVI file. AVI(Audio Video Interleaved) is a container format designed by Microsoft, used to wrap audio and video streams together. These audio and video streams can be compressed by various codec. During the days AVI format comes into being, WMP supports all video codecs that can be used in AVI file. After that, more and more new codecs, like Xvid, DivX, MPEG-4, are invented and used in AVI file, but WMP doesn't support them.
Reason Two: Your AVI files are corrupt. Play them on other players and devices to check if this is the reason.