As far as i know, it only plays .mp3 and .wma. If you want to play movies you have to convert them to DVD (VOB files inside a VIDEO_TS folder). It *might* play VCD's, I'm not sure.
I play music videos all the time. Use NeroVision (or something similar) to take your mpg's and make a DVD with them. Complete with menu's. Works great. I've got over 160 music videos now. :) I fit about 45 on a single layer dvd+r disc. I still dont know why I put Sir Mix A Lot on there though...
Try making a mini-dvd. A mini-dvd is a cd with a dvd file structure. Not everything will play them, but its worth a try. That is at least a temporary solution until you get a dvd burner. :P