Yeah, but...
I downloaded the .mpg using PHEX.
Phex prompts you for a file name when downloading, so I edited the filename which was quite long, and specifically entered the inocuous name "An.mpg".

So there was no hidden file extension, unless Phex is hidding those exentsions as well, which seems pretty weird since its java and all.

I'm fairly certain it was just a .mpg file without a hidden extension, I will do more research tonight.

Is there anyway a file with an extension of .mpg (without any hidden extension) can cause a trojan to be triggered? Are there some flaws in windows Media player that allow this?

Stumped.