Movies are not suppose to work on mp3 player unless it can play videos in the first place. Check to see if your user manual which codecs and file formats that you mp3/video player supports.
Most PMP companies sell codec packs for their products so you might want to look into those as well, but I'd say re-encoding the file is better if you know how to do it (google has pretty detailed guides)
One pup to rule them all, one pup to find them, one pup to bring them all, and in the darkness bind them Prince of Darkness, Harvester of Sorrow, and Co-Ruler/Co-Founder of the Cookie Legions with FableB Ο Άρχοντας του κάτω κόσμου The "New PoP Deathbringers" Team[Khaled, Lester, André, Jo, DiDo, Morty, Vlad, and Roxy]"Join us, is submission not prefferable to extintion?"
The simple way to re-encode your files, if PMP supports Microsofts Windows Media Video codecs is to import your avi file into Windows Movie Maker and then re-encode (Save movie) as .wmv files... Hopefully that works.
Forums 
Ο Άρχοντας του κάτω κόσμου 
