look up info on video for windows.

you can also look over the tutorial on nehe.gamedev.net it explains how to do it for opengl, but he uses the standard window functions for the actual playing. you would just need to modify it so instead of placing the data on a texture you place it in the window you are drawing. unfrotunatly he dont go over the sound portion, but msdn explains avi playing quite well as well.

why dont you want to use directx (the easiest way)? also you cant play avis using opengl since opengl does not deal with video files.