If you double-click on a file, and it doesn't open Windows Media Player, it could be a simple file-association problem. Which means, the computer thinks that AVI and MPEG files (etc.) are supposed to open with a player other than Windows Media Player, and that's why nothing happens.
Precisely why I asked you, if you opened windows media player, selected, File > Open and double clicked on a video file, which would make sure that you were trying to open the file with WiMP (windows Media Player).
If it doesn't open, you might have the previously mentioned decoder issues. If it does open, it's probably just the fact that another program took over the file associations, and that's why they don't play (if the player is no longer there, but the file associations are still associated with the player that is now non-existent).