Go to download.com and search "any video converter" it will give you the "any video converter 2.6.7" its free and it converts almost any video type. (including wmv and mpg)VLC media player can change movie files.
download it here: http://www.videolan.org/vlc/
open up your movie, go to file-wizard-transcode/save to file-name and choose where to change from and choose file type and your done.
**edit Just realized this was like 5 months old. Sorry.