Maybe post a copy of your code to this thread?
EDIT:
On binding to another window:
The trick to it is to set the new window you create to be a child window of the FS2 window.
Assume pVW is a pointer to the video window and hWnd is the window handle of the main FS2 window in the below example:
// Set video windows owner (i.e. who is the parent window?)
pVW->put_Owner((OAHWND)hWnd);
// Get the size of the Parent window
RECT vwrect;
GetClientRect(hWnd, &vwrect);
// Set the child to this exact position
// This appears to be done relative to the parent
pVW->SetWindowPosition(0,0, vwrect.right, vwrect.bottom);
This code should work well since the FS2_window doesn't need to dynamically resize itself and such.
EDIT 2:
And a final note, I made a very simple app a while ago with directshow and it plays avi's encoded with DivX perfectly provided you have the codec installed. Just add in some error checking in building the filter graph and such to avoid bad crashes.