Yes, if you can get the video to run as a MP4 you can put it on a player like the iPod naano. Also, or similar player made by Coby and others.
Your player documentation should indicate winch, if any video formats it can use. Of course it has to be a player with a LCD scree! Such players should come with their own file management software.
If you do not have the right software, please give some more details. Can it play AVI format? Does it only play AMV. Does it have a small sample file on it? What format?
Is it AMV? Did you Google AMV format? Oh-Oh. Don't bother with the top sites that tell you have to do AMV. I guess they paid Google some bucks to put them on the top of the list. All are interesting, but a waste of time.
There is infomercial software out there can can convert anything to anything. But you do not have to use any of them if you don't want to shell out $40 just to use a player that may have cost that much or ever less!
Please provide details and I, or someone else here, will direct you to places where you can get freeware that will do a good jog of format conversion.
Of course you can just on trying Google. But it may take you a week to find the ones that are worth the effort. Some of use here have already done that.
But if your play does AVI you have it easy. Converting MP4 to AVI is easy.And you can burn DVDs from AVI and MP4 and some other formats. But not AMV.