actually WMM supports:
Video files: .asf, .avi, dvr-ms, .m1v, .mp2, .mp2v, .mpe, .mpeg, .mpg, .mpv2, .wm, and .wmv
a bit complicated to remember, but it does support video files. i would usually prefer .wmv instead of all the others, but .avi is also pretty common...
not sure if this helps but i try