Go to your Start Menu and click on Programs > Accessories > Entertainment. Click on 'Windows Media Player' if it's on the menu. When Media Player opens, you should be able to search for the AVI file that you want to run.
Double-clicking the file in Windows Explorer ought to open Windows Media Player and run the video file automatically but it sounds like that's what you're having trouble with. I would guess that either:
a) The file association between WAV files and Media Player is broken;
b) Media Player is no longer installed or working correctly.
The first will be pretty quick to fix, the second will require a download from
http://www.microsoft.com/mediaplayer
Hope that helps - let us know if you need any further assistance