Its a known issue in Spybot S&D and Spyware Doctor. I bet you must be using VTP (Vista Transformation Pack) in your Windows.
Actually it replaces the Windows default AVI with Vista one and when Spybot or Spyware Doctor tries to update the definitions, it tries to load the AVI to show the progress but it doesnt find the default AVI. What it finds is the changed AVI by the VTP. So it gives error "Cannot Open AVI".
The fix is, uninstall VTP completely and then try to update the definitions, now it should work. If you want to use VTP, then re-install it but make sure you uncheck the option "Vista Video Clips" (or similar option).