You have your favourite Media Player but no video or audio. First it might help to know what codec you need, so use GSpot.

For playing most common AVI files of Movies and TV-Shows you only need DivX, Xvid, and the AC3 Filter for AC3 sound.
For RMVB files you need Real Alternative.

But if none of the above is enough, if you need any other codec or want something more complete, there are a bunch of Codec Packs around, which contain lots of different codecs. You can search at Doom9 or Free-Codecs for the best ones. One of the most famous is K-Lite Codec Pack, (or from Codec Guide) which includes lots of extras.