Before you get to install the DivX codec, please make sure you have the software titles listed in the "required software" section below installed and running 

Download and de-compress/extract (using WinZIP) the files in the ZIP archive 
into a directory (of your choice) - normally, you should choose the "C:\program files\" directory. Please do not click on the "Register_DivX.exe" file while still in WinZIP - you must physically press the "extract" button within WinZIP 
to a directory on your hard-drive, and then run the "Register_DivX.exe" file to start the installation. Opening the file in WinZIP, and double clicking on a file will mean that only this file will get extracted, and so the other files (including the needed INF) files have not been extracted and will be found to be missing. 

Go to the directory you choose to extract the file to (eg. "C:\program files\DivX_311alpha\" directory) and locate a file called "Register_DivX.exe" - this will register the codec for use in Windows 
The DivX codec is now installed and you can then use Windows Media Player to playback the DivX AVI file. Alternatively, you can use other DivX players.

Note : The DivX codec is designed Windows 9x environments only. It may not work if you install Windows Media Player 7.0 after this codec, and may not won't work in Windows Me unless you install the DivX codec again, or in extreme cases, you'll have to install Windows Media Player 6.4 (to a different directory than WMP 7.0), and you can use WMP 6.4 to play DivX, and WMP 7.0 would still work.