It can be done with just about any video file. You can download programs that will take virtually any input file and convert to any other format you could want. The problem is that these programs often take a long time and are quite complicated to use because when you change the format of a file, it gets very technical. For example, when you convert some video files, you have to alter the frame rate, resolution, audio track etc.
The easiest way to watch any file you want is to just make sure you have a range of players (Windows Media, QuickTime, DivX, Winamp etc) that will ensure that your computer can play any files you might get without having to convert them.
If you have all the players you need, the only time you would ever need to convert them is if you wanted to do complicated things with them like change the file size for storage reasons or make you own DVDs etc.
Hope this helps? I have plenty more boring info if you need it.
Steve