Get this:
MediaCoder - Download Full Pack
Install and run it.
Drag and drop the AVI's you want to convert.
Go to Extensions/Game Consoles/PSP
Select the resolution and video quality you want.
Click Start.
Voila.
Mp4 is the same format as used by PSP, so you can use the PSP setting in MediaCoder.
Just out of interest though Jim, what phone you got? Might be possible to download a different media player (I did that with my SmartPhone so I can play a wider variety of file types and codecs).