×The first three points must define a triangle, since they cannot be collinear. If the fourth point forms a quadrilateral, then the requirement is fulfilled. If it does not, then the points must form the shape in the diagram (a triangle with a point inside it, with rays drawn through each pair of two points that includes the centre point, extending to the side of the triangle, and indefinetely past the opposite vertex), as that is the only way an angle in the quadrilateral can be greater than 180:
Now, the fifth point cannot lie on any of the lines, for then three points would be collinear. If it lies in one of the external regions, then it will form a convex quadrilateral with the two points bordering the region, and the centre point, because the only way for any angles to reach or exceed 180 degrees would be to either lie on a line, or lie in a different region, in which case this step should be repeated.
If it lies in one of the internal regions, then draw two lines to the points bordering the region. The angle formed must be less than 180, else it would be on a line, or be in a different region. This point is now external to one of the three triangles formed by the original four points - namely, the external triangle that includes the two points bordering the region. Thus, it forms a quadrilateral with this triangle. The angles are restricted to less than 180 degrees by the region boundaries, unless the triangle was completely flat, in which case all points would be collinear anyway. Therefore, it forms a convex quadrilateral, and the requirements are met.
I hope in there's some sense in my ramblings here.
Also, I don't have a puzzle myself, so if I get this right, anyone else is free to post one.