well i dont think that any player will play unfinished .avi file that u still downloading, but if u copy that file to some other dir and rename it from xxx.dat to xxx.avi then u can use DivFix107 to fix it and watch what you already have in any player.
well it may be something with the file u got, i've had something like that with movies from kazaa no sound and no video. or does it give you anykind of errors? also try to dl latest divx codec at divx.com
It sounds like you don't have the codec for the movie your trying to watch. Movies are compressed different ways, and different methods need different codecs. If you go to microsofts website you can download the mpeg4 codec, which is what most movies are nowadays. I've attatched a codec pack that if you will install, you will never need another one.
As far as which program to use? I like GDIVX (Global DIVX) It does wonders on fullscreen.