Copy the AVIs to the 'movies' folder inside the FF7 installation folder:
C:\Program Files\Square Soft, Inc.\Final Fantasy VII
Then update the registry to point to the new movies folder.
FF7 Registry Update
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Square Soft, Inc.\Final Fantasy VII]
"AppPath"="C:\\Program Files\\Square Soft, Inc.\\Final Fantasy VII\\"
"DataPath"="C:\\Program Files\\Square Soft, Inc.\\Final Fantasy VII\\Data\\"
"MoviePath"="C:\\Program Files\\Square Soft, Inc\\Final Fantasy VII\\movies\\"
"FullInstall"=dword:00000001