Yeah, as Elz said, you will need to convert them. It's relatively easy to do, and there are several programs available. Only problem is that the end quality varies, and some of the smaller encodes don't look real good on a big television.

For what it's worth, I've never seen a DVD player that would play .avi or .wmv files. Granted, I am in Australia where we don't even have Ti-Vos, and where a DVD that could play .mpgs would be a month or so's salary, but I'm pretty sure that .wmv and .avi are computer-only formats. So I don't think you've been ripped off too bad.