Are there any good programs for converting between the various video file types? (mpg to avi or wmv, especially)
Virtualdub is a great piece of software, I’ve been using it for years. It will accept mpeg1 as input and will ouput avi/divx/whatever codec you have installed.
If your input file is mpeg2 (like what you’d get off a DVD), there is a modified version of virtualdub that will handle that. All this and more can be found at this page.
VirtualDub is great for making AVIs. To make MPEG files, try TMPGEnc.
Comprehensive step-by-step guide: