more and more often mpg's I download will actually be some other movie format that was mis-named by a stupid person. You can try changing the file name to end in .avi or .mov or .asf, but do asf last because that will add type/creator codes for WMP. Or, you could open the file in a hex editor to try and guess what it is. If you see the word Microsoft, it's an ASF. If you see RIFF and mostly blank space (on the first page), it's probably an AVI. If you see utter gibberish starting at the beginning of the file, it's probably an MPEG, but it might be MPEG-2. I have no idea what an MPEG-4 looks like in a hex editor, probably similar to a mov, which has a 'moov' in the first line
equally common but harder to fix, is when a series of mpeg's were joined improperly into one file, that plays in WMP for Windows, and VLC, but not quicktime. Look for Rosetta, which is a program that can resplit the file so at least you can watch all the parts
I've found that except for mov's, VLC can play just about anything. You could start by playing it with that to see if it's corrupted or something