If it plays fine in windows then when you burn it to the VCD it will work.
If it doesn't then it won't.
This is because when the file is converted to VCD format it uses whatever codecs are on your system to get the video and audio out, so if you're missing some then obviously there'll be problems.
Incidentally, you're aware an AVI can't go straight to VCD right? VCDs are in MPEG format. However, if you use Nero to burn the VCD you can just drag the AVI in and Nero will convert it for you.
BE WARNED: conversion (whether by Nero or by other means) of an AVI to MPEG takes quite a while. On my XP2000+ it takes about an hour to convert 2 hours of footage.