What codec is your audio encoded with—what is the extension on the file, and what bitrate is the audio? Some of this information might be visible if you do a right-click Properties -> Details on the file in Windows Explorer.
It sounds like PSE9 has a private codec that can play it, but the Windows system, in general, doesn’t have a codec to support it. AVI is just an envelope for the existing video and audio. If the audio is using a non-supported codec, then wrapping it in a AVI won’t help. The audio needs to be something more universal. I’d guess that a fixed, moderate bit-rate MP3 would be supported, whereas a FLAC or very high or possibly a variable-rate bit rate MP3 wouldn’t be as universally supported.
I uploaded music from a CD to my computer and it ended up in an mp3 format. When imported into my slide show it would not play.in the PSE 9 player. I converted it to the .wav format and that does play in the PSE 9 player. The bit rate of the latter is 176 kbps. Incidentally, the music does play on Windows Media Player directly from the audio file.
I appreciate your help.