Well... you can always use Limewire to download things. Bit-torrent programs like azureus also work well. The legality of the things you download is a whole different matter. Most of the content that is out there is probably not legal for you to download, and some of it may contain viruses and other things. You are free to take your own chances and grab whatever you like from the download sites though.
avi, mpg, and wmv are all video types. Most should play through windows media player, some require special codec downloads. Codecs can be tricky to find the right one to play your video...