I believe you can. If it isn't directly supported, it would still be pretty easy to work in a run-around. Microsoft Windows has it's own API for playing AVI files. I think that you can just specify the surface address that you want it to attach to and let her rip. I haven't tried it myself, but it should be easy to implement.
The Win32 API has functions for reading AVIStreams, so for each frame you can retrieve the bitmap and then blit that to whatever surface you want in whatever API you want. Relevant functions: AVIStreamRead, AVIStreamReadFormat, AVIFileOpen, etc. Check the "Win32 Multimedia Programmer's Reference," which comes with the major compilers (Borland, MSVC).