Looks like you are dealing with a split file, not an avi file. You need to download all the files and reconnect them before they'll play. That is why your file extension is .003 and not .avi. There should be several other files that go along with the .003 file you have, including but not limited to a .001 and a .002.

If the .002 came before the .avi, then you'd be dealing with a complete avi file that is part of a series, but with the .003 coming after the .avi it means its actual extension is .003 and not .avi, so you are dealing with just a piece of a larger file.