A codec is the compressor used to make a movie file small. Windows has several codecs available for making AVI movies, but they do not perform as well as the downloadable codecs available from third parties. The default codecs typically include "Full Frames (uncompressed)", "Indeo video 5.10" and "Cinepack Codec by Radius", which can make very large files.
You may want to try one of the popular MPEG-4-based codecs at www.divx.com, www.3ivx.com, or www.xvid.org.