Read Bill Hunt on a file type as WRAPPER http://forums.adobe.com/thread/440037
What is a CODEC... a Primer http://forums.adobe.com/thread/546811
What CODEC is INSIDE that file? http://forums.adobe.com/thread/440037
Report back with the codec details of your file, use the programs below... a screen shot works well to SHOW people what you are doing
For Mac http://mediainfo.massanti.com/
Welcome to the forum.
I second John T's links, as MPEG (or AVI, WMV, MOV, and many more) can mean many, many different things. That first link will give you an overview, and tell you how to "peek inside the wrapper."
That second link goes into more background on CODEC's, the "building blocks of Audio/Video files."
If you can "peek inside that wrapper," and tell us the differences between the files that work, and those which do not, someone will be able to tell you why, and most likely how to get them to work.