I think the CD's were burned in Joliet mode. (There's no such thing as FAT32 for CD's).
There are many formats to burn cd's in. ISO9660 is the most common one and most, if not all, operating systems can read it.
To use long file names, you burn the CD with Joliet File System. You need the Joliet file system extension so your mac can recognize the format (this is different than "foreign file extension").
Also, if you burned an .AVI on a PC, you have to have software that can play that type of file on the mac. Moreover, if a particular piece of software doesn't associate itself with a file type (this is done by looking at the extension ".avi" then you can't just double-click the file to open it - you hve to open the program that can read the file, then tell it to open your movie file.