1) ffserver doesn't not work. 

ffmpeg development is now concentrated on the codec and format
handling. New developments broke ffserver, so don't expect it to work
correctly. It is planned to fix it ASAP.

2) I cannot read this AVI file.

Even if ffmpeg can read the AVI format, it does not support all its
codecs. Please consult the supported codec list on the ffmpeg project
page.

3) I cannot read this Real Audio/Video file.

See (2). ffmpeg only supports Real Video 1.0 and AC3 as Real
codecs. It mean that you cannot view files encoded with real tools
after version 5.0.

4) I get audio/video synchro problems when grabbing.

Currently, the grabbing stuff does not handle synchronisation
correctly. You are free to correct it. It is planned to fix it ASAP.

5) How do I encode jpegs to another format ?

If the jpegs are named img1.jpg, img2.jpg, img3.jpg,..., use:

  ffmpeg -i img%d.jpg /tmp/a.mpg

'%d' is replaced by the image number.

'img%03d.jpg' generates img001.jpg, img002.jpg, etc...

The same system is used for the other image formats.

6) FFmpeg does not support codec XYZ. Can you include a Windows DLL
   loader to support it ?

No ! FFmpeg only supports open source codecs. Windows DLLs are not
portable, bloated and often slow.