I solved the problem, I followed another thread in this forum that suggest to simply change the extension from .mpg to .avi instead of using different third party software to do that. It's possible to be the conversion software that use some strange codec.
No my problem is that being a novice to Premiere I don;t know what setting to use to export my movie.
Now for about 35 minutes it has 4.5 GB. Maybe I have to use some special params to have a file more smaller.