You’re talking about saving an animation you made, right? Hit F10 and look at the far-right panel. On it you’ll have a choice of output format: TGA, PNG, JPEG, etc., including Quicktime Movies and AVI raw (no compression), AVI JPEG (jpeg compression), and AVI Codec (any dvd codec you have installed on your system, such as DivX and Xvid.)
The best way to render animations is to set the output directory (in the far-left panel) to an empty directory just to store the images in your animation. Set the output type to PNG (lossless, high-level compression with alpha channel) and animate. Your directory will be filled with a sequence of images named 0001.png, 0002.png, etc.
This way, if something messes-up or crashes you don’t have to start over at the beginning, only where the error occurred.
Once you’ve done that, press Ctrl-X for a new blend. Click the “Do Sequence” button in the Animation panel, and make sure your image size (X, Y, and 100%) are set to the same as the original animation. Set your output type to the MOV or AVI type you desire. Open the Sequence Editor window and Load Images. Select all the images in the directory and place them at the bottom of the sequence editor, with the left edge of the block at frame 1. No hit the ANIM button and viola! a friendly, compressed animation file.
Hope this helps.