MPG (MPEG) Files
Explained in Plain English

MPG files contain video. You may see files with extensions of ".mpg" or ".mpeg". There is no difference. MPG files are easily played with Windows Media Player and QuickTime on the Macintosh. Unlike AVI files, if you download an MPG file, you will always be able to just play it with no hassles.

MPG and MPEG files cannot contain viruses, so there is no harm in downloading them, or opening them if somebody emails you one.