An MPEG is a type of video file, you are correct in that assumption. Things such as DivX and Xvid are called codec's (COmpressor/DECompressor) codec's are used to conserve disk space, raw video files are very large.
It is quite likely that PyGame does not support the compression being used by your videos. For more information on multimedia files and codecs, check out: http://www.videohelp.com/ As for the types of compression (if any) that PyGame supports, I'll have to look into that. -- http://mail.python.org/mailman/listinfo/python-list