To add videos to iTunes, they need to be either MPeg 4 or H.264 which is an advanced variation of mpeg 4. Unfortunately when you download videos, mpeg/mpg can also mean mpeg 1 or 2 which are different formats. Also, I've had a ZyGo format video be able to be imported. Don't know why. Must be an mpg 4 variation.

If you want to convert to iTunes compatible format, it helps if you have QT Pro. That will give you the iPod format conversion option from any application that can export video including QT player itself.

It sounds to me like you don't even have the basic formats on your QT or enabled. QuickTime Plug-ins & MIME settings (click on link)