I bought the Philips DVP3140. This plays Divx files, which is very similar to avi files. Saving these files as AVI I could play them in Windows Media Player. Changing the file extension to divx, I could play them on the DVD player. I don't quite understand how, or why, but that's the way it works. I think that because the avi files were compressed using the divx codec, I could play them on the dvd player. If they were not compressed using that codec, I probably would not be able to.
Oh, and btw, the DVD Player can fast forward at 32 times the speed, so getting to the right place in the movie doesn't take long at all.