I've found on a few occasions that the .mpeg file is actually an .avi that's been mislabeled. Not that it helps you play it (because most .avi's are non-standard) but if you've got the right codecs for .avi files, it may play with a simple change of extension.
Some files with a .mpg extension are mpeg-2 instead of mpeg-1 format. VLC will read both but QT requires that you buy the mpeg2playbackcomponent from Apple to play them in QT. Here is a link for the mpeg2 FAQ. Be sure to read it if you are thinking about buying the component as it has a number of limitations.
http://www.apple.com/quicktime/mpeg2/faq.html