Many times when people post problems using Blender's MJPEG encoded AVI files the reply tends to be.... use image sequences or use uncompressed. But there is a very good reason for using MJPEG - the results look great and the files sizes are much much smaller... and of course its much easier to handle than a mass of image files. But at High Definition sizes they don't work with Windows Media Player, or more importantly, Premiere Pro CS 5.5 ( and probably other versions )
And the answer is indeed the Morgan MJPEG codec at http://www.morgan-multimedia.com/morgan/php/products.php?sProductId=4 which has a 60 day trial but otherwise you have to pay for, but, oh well, sometimes you have to pay for stuff and I'm sure the chap deserves it - 20 euros in this case.
Doesn't solve Windows Media Player bit does solve Premiere, but you can use VLC or Media Player Classic to play them.
And thats it really.. I just wanted to add to the posts pointing in the right direction