If you open up the .AVI in HTC Album, I believe they will play just fine (hence the supported format). But if you are opening them right from the file explorer, it goes to windows media player which does not support .avi . If you want to accomplish this without HTC Album I suggest TCPMP Player
http://picard.exceed.hu/tcpmp/test/ or Core Player
http://coreplayer.com/ .
TCPMP is free but not as good as CorePlayer.