I usually prefer avi files, but mpeg has a few good points too. Mostly they can be missing large portion, corrupted, and still play easily with only a portion of the whole file.
the site
http://www.doom9.org/
has always been my favorite for guides and little programs for converting pretty much every format to any other. I know I've converted some avi's to mpeg before.
this might help, they have some avi to vcd/svcd/mpeg progs
http://www.doom9.org/software2.htm#svcdtools
Being that I dont know what reason you'd have to change avi to mpeg, I cant be more specific.
i haven't changed a avi to an mpeg for quite a while, so i can't really remember how.