If the specs of the DVD player state that it's compatible with MP3, VCD and SVCD and it is able to read CD-R(W)'s it means that it can read/play all three formats if they're recorded on a CD-R(W).
The DVD player will not play CD-R's with AVI's and MPEGS's, simply because they're not in the right format (VCD/SVCD).
You can however convert these files to a (S)VCD with
Nero.