Meanwhile, could try putting each frame of your AVI into a Sprite object's animation. (It'd have to be a low-res, short video, though - otherwise it'd be heaps of trouble and probably a large filesize too.)
Absolutely don't do this, It will hog way too much vram to be practical. You can possibly launch the avi with the execute file command of the file object, but it will be in the user's default video player, and not directly integrated into your game. It's better than nothing though.