avi files are usually video -- though there so many differing video codecs it's hard to guide you.
Your post is unclear -- did you get stuck downloading the file from somewhere on the internet or did the interruption occur when you were burning.
Normally you'd download stuff to the hard drive before attempting to burn.
For audio you'd use Toast or iTunes as the burning program -- for video the picture is more complicated and as (thankfully) I don't have a Mac......