Yes, it doesn't support it, but if you download this software designed for the veo digital camera for ppcs, it will play .avi, becuause that is what it records it's movies in .avi too. But just move the movie to my documents folder, and start the program, you'll get a message saying there is not camera insterted, reset your device, just click ok. Then click album, and find the movie and double click on it, and it will start playing.
Here is the software Just click download the one futhest to the top, the one that says Software Drivers for Veo Photo Traveler for Pocket PC (EXE). ;)