What version of Premere Elements are you using and on what computer operating system is it running?
What is the project preset for this slideshow that you have on the Premiere Elements Timeline destined for export as a .mpg file?
Is this a SD or HD project?
Do you want specifically a file with MPEG2 compression and a .mpg file extension? Pending more details, you would look to the sharing area of the program and ..../Computer/MPEG and the appropriate preset choice. In this route, MPEG2 compression can be associated with .m2t or .mpg file extension depending on which present you select.
Your reply will give me the information needed to give you a customized answer to your questions. The answers will be in the details.