Correct me if I am wrong but I dont think there is a file type that cannot be seen by linux. Obviously some files cannot be run such as bat or exe files files.
Does the file start with a "." period? It will not be seen unless you type ls -a.
Perhaps it did not get copied from the pen drive.
Try the find command to find the file. Try
find <path to windows dir> -iname <file.avi>