I have a phillips divx dvd player from wal mart it was like $30 and it works perfect
just throw the avi (i'm guessing that's what you're using it for) onto a blank cd
you can do it with nero (burn a data cd)
or with windows "open writable cd folder"
if you want you can take larger sets over 700mb that wont fit on a cd (say like a 4gb season of a show or a 2cd torrent) and burn the ithe files onto a dvd the same way except pick "burn data dvd" with nero
edit: they have magnavox ones at wal mart too for cheap but i chose the phillips over the magnavox because the phillips in metal where as the magnavox is a flimsy looking plastic. but yeah seriously..$30..cant go wrong..go get one!
also the phillips allows for firmware updates and zooming in and out as well as picking the aspect ratio so you always get a perfect screen size