One example is the Quick Media Converter HD. This is a free program for Windows, which converts both video and audio files. It also has its own media player. The interface is extremely nice with all the supported formats at the top, including FLV, DVD, VCD and PSP.
You simply select the conversion format, and add your files. You press the Convert button to start the conversion process. You can also preview your changes. This program also allows you to perform batch conversions.
If you need to convert MKV files, the Aleesoft Free MKV Converter converts these files into files supported by different devices, including the Sansa. You can change MKV files into formats like SWF, MOV and XviD.
A similar program for RMVB files is the RMVB Converter 2.0.55. This program is freeware, meaning that you never have to pay for the program. It has a simple interface. You simply open up the RMVB file, and select an Output Folder and Output Video Format. Then press Convert, and watch the progress of the conversion in the Progress bar.