I'm not sure what you mean in the 1st part, but for mpeg files, you either need xtra codecs for WMP or get an alternative player (free) such as VLC.

You need to detail xactly what u mean in your 1st question. I hope you're not confusing files with folders. If you're refering to combining movies/movie clips, then for pc I wouldn't know a 'simple' solution other than burning them as separate tracks on a vcd. But if they're in wmv format, you'd no doubt need some type of a wmp converter to other formats. By the way, vcd generally uses mpeg 1 format & dvd uses mpeg2. Other than this there is a website/forum or three that deal with such issues. You'll need to search for them. You can try video help for a start.