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What is the CODEC used by the Nikon?
Seems that one of their cameras used H.264 in a non-standard AVI wrapper.
G-Spot, or MediaInfo will tell you what is inside.
You might need to change the file extensions to something like MP4, or MOV, IF it is the H.264 CODEC.
Also, Nikon has used the MJPEG CODEC for some cameras, and there are other tips for handling that.
Please let us know more about the Nikon D5000.
The info that I found on the Nikon D5000 stated that it WAS the MJPEG CODEC.
If that is correct, then I would see this ARTICLE.
The best course of action would be to install Nikon's version of MJPEG, which should be on your camera's utility disc. That CODEC might install separately, via the camera's driver, or with included Nikon included editing/cataloging program.
The NEF module is for the Nikon Camera RAW Still Images. However, if you use Photoshop, you will probably want to download and install the latest version of Adobe Camera RAW module.
As for the CODEC, Video files are seen first as formats, which are "wrappers," and those contain various CODEC's, which are the compress/decompress specs. inside the files. This ARTICLE goes into more detail on them. Those CODEC's might be general, such as MPEG-2, or they might be heavily tweaked, by the camera mfgr..That is why we most often recommend using the camera mfgr's specific version of each CODEC, like the MJPEG CODEC. However, there are other MJPEG CODEC's, and those work for many. There are links in that article for Lead and MainConcept.
When you look at the Nikon utility disc, in Windows Explorer, what all do you see. As mentioned, some camera mfgrs. will issue their CODEC as a separate install (CODEC's install at the system level), or they might install along with the camera's driver, or they might install with some other software on that disc.