After you click on Render Animation (File/Render Animation) - an applet pops up when you do so.
Clicking on the small down arrow (next to Output Module) should give you other formats available; clicking the EDIT button should give you compressor options (click the small arrow here next to Compressor); while if you click the SET button, you can also change the location to any file structure on your comp.,. Note, also, if you change the format (as mentioned above in the Output Module part), say, to Quicktime, then clicking again on the EDIT button opens up more compressor options.
Just tried opening an AVI I have here using VLC and they worked fine, however, the colours in the original AVI have been changed by the ‘ware – weird. VLC is a fantastic piece of ‘ware, but I don’t use it much as I’m used to opening Vids in other ‘wares (the freeware, IrfanView, is also very good, too - might be worth a check).
As to why you’re not seeing the AVIs, sorry, but don’t know what’s going on there, so will let others more knowledgeable help you out.
EDIT: Oops, cross-posted with Horo