Aces High films only play on the Aces High Film Viewer that comes with the game. The is an option in the film viewer to save a film in the .avi format, but lots of people have trouble with it. I think is just slow while doing the conversion. It took a loooonnnnnnngggggg time the last one I did, but it did work.
Or you could do it with a screen capture software such as FRAPS.