no difference.
The only reason a file is ever given the "mpg" extension is because older file systems and operating systems are restricted to 8.3 filenames- that is, 8 letters, a period, and a three letter extension... in this case, MPG.
MPEG itself is really just an encoding standard; for example, an AVI file could use MPEG encoding.
if you need to, you should be able to simply rename the file in question to have an mpeg extension.