DivX Ultra is a format developed by DivX Inc. which extends Microsoft's AVI container to support menus similar to those found on DVDs. It's part of the DivX Certified program designed to help consumers find DVD players capable of playing files encoded with the DivX MPEG-4 codec.
Although the menus found in DivX Ultra MPEG-4 files aren't playable without specific DivX Ultra support, if you change the file extension of such a file from .DIVX to .AVI the video (but not the menus) can be played by any software or standalone player that supports MPEG-4 in an AVI file.
You can find more information on the DivX Ultra format and certification on the program's website.