I get that alot. There are different types of mpegs. Some of which QuickTime cannot handle. I just put them aside until the day I find a program that can play them, or I trash them.

If it's an .avi, then there are programs that can "fix" them to get them to play.
Do a search here on "avi" or "divx" to find the threads about them. You may find the answers you need for that. As for mpeg, I think it's a problem us Mac users just have to deal with. Sorry.