Because an AVI isn't, strictly speaking, a "Windows video file." An AVI is just a container, and any video format can fit inside it. Your AVI file is using a format that Windows and Vegas don't have inbuilt support for.
Your best bet without installing codec packs (which can sometimes gum up the works on your PC) is to download a tool like AVICodec ( http://avicodec.duby.info/ ) and run your AVI files through it to see what codec they need, then install just that specific codec. Afterwards, restart your PC and try the AVI in Vegas again.