MPEG isn't a file format - it's the body (Moving Picture Experts Group) that sets the standards for their method of audio and video compression. There are more than a dozen MPEG standards, such as MPEG-1; MPEG-2; MPEG-4 ; etc.
I suspect your camcorder produces MPEG-2 video and you have not specified your OS but all versions of WMM supports MPEG-1 video whereas only the versions of WMM for Windows Vista Home Premium and Ultimate support MPEG-2 program streams.
The MPEG-2 format has several codecs that are not supported by WMM. Even if you have downloaded and installed these codecs on your computer, files in the MPEG-2 format may not work in WMM or may cause other problems. Converting the MPEG-2 format to another compatible format may work for most MPEG-2 files. However, some MPEG-2 codecs include copy protection schemes that will prevent you from converting the file.
Importing of the MPEG-4 container format is not supported in any version of WMM.