Damn it, it still does not work !
I tried with the Space.AVI file, following exactly each steps described by Boo Boo, and once I'm in the Windows (XP) shell, avi4hv seems to run okay until it displays the error "audio file must be 8-bit uncompressed WAV". I tried with 8-bit 11Khz, 8-bit 16Khz and 8-bit 22Khz mono and stereo wav files but nothing works.
@NovaCoder : Have you tried to convert Space.AVI ?
@Boo Boo : Do you know any program that can convert video files (mpeg, avi...) to CDXL like avi4hv does ? Would be nice to try too.