Betaplayer is an open source media player that allows you to play just about any media file on your PDA. I have used this my self and it is better then any other pre-installed media player (including WMP10). On Febuary 7th 2005 the latest stable version, version 0.5 was released and includes among other things .mpg support which is what I was looking for.
http://betaplayer.corecodec.org/