>I made a small (about a minute) .avi video clip (this is the only format my digital camera makes) and uploaded it my web site. When I click on the link to this .avi my pc opens MS Player and starts connecting. I presume it download the clip file (about 22 Mb). Is there a way to make this video (or any other video for that matter) to stream so it will appear faster on end user PC?

This should point you in the right direction....
http://www.microsoft.com/windows/windowsmedia/howto/articles/webserver.aspx