Replying to Wrong avi. files? plz help!

so ive got a fugi finepix s700 and the it takes avi files but they wont play in sony vegas for some reason so i always have to go into ulead (shity editing program that cn read them) and then export them and then put them into sony vegas which is a huge pain in the ass and makes them huge is ther any easier way of doing this like download somehting? im not too good with patches and all that shit but if someone cud help that would be great