As far as i know the engine has nothing to do with it.
You "just" need the right codec to play the movie.
Can you play it in your windows media player you should can play it within the engines window.
The "problem" is MEPG-2 is owend by the Frauenhofer Institue and codecs as far as i know are not free. MPEG-2 is DVD-standard so if you have installed an software dvd player you have an codec on 'your' system.
If you want to distribute MPEG-2 content you have to play licenses for the included codec.
But look here - it seems to be free...
http://www.free-codecs.com/download/Stinky_MPEG_2_Codec.htm