I don't know why people on these forums ask what equipment people are using just to answer simple questions!
I too have a DVD player with USB socket. It's a SONY, the model is irrelevant!
I too have issues when I add AVI files to a memory stick and try and play them.
I download the movies online. Some play fine, others do not play at all.
The problem is this:
There is an incompatibility between AVI files.......that's all.
If you have an AVI file which won't play on your system, then simply convert it to AVI.....yes CONVERT IT TO AVI !!!
Sounds ridiculous I know, but trust me on this, convert the non-playing AVI to AVI, then add it to your memory stick, place it into your DVD/media player and you'll see that it works!!
I use Format Factory for converting ALL my video files.
It's free, get the latest version here.
Good luck.......actually, you don't need luck.....this WILL work!