I think maybe somebody is getting mixed up between mpg and mpq. Because lower case gee and lower case kew look similar?
You might as well as "why can't I play a Word document in Windows Media Player?". Or, "How come I can't run my car on Gatorade?". Or, "Why can't I watch TV programs on my refrigerator?".
An MPQ file holds compressed graphics, sounds, sprites, etc. Think of it as an archive of the all game-related things. MPQ archives were first introduced with the game Diablo but are now used in various games.
An MPG file is a type of compressed video file. They are different.