What exactly doesn't work - doesn't download well (you get incomplete file or something) or doesn't work after you download it and try to play it back and then the player reports some error?
In any case - yDecode doesn't care what file type you download. It decodes yEnc but think of yEnc as a wrapper which contains any particular file format like JPG, AVI, WMV or MPG in your example.
So the problem with MPG files not working is not with yDecode - especially if WMV and AVI files work properly.
You may have downloaded incomplete file or you lack some of the headers in the download (either you didn't download them so yDecode cannot join the file, or they don't exist on the server). Furthermore it may not be yEnc encoded (check if the word yEnc is somewhere in the subject line). In case if it isn't yEnc - then you may need to save the file by clicking the paperclip attachment icon in your Outlook Express, Windows Mail (or whatever other newsreader you may use).
Finally, and most probably the case - you may lack the codec required to playback the file. Maybe you have some codecs installed but if you miss a particular one - that file type may not be playable in media player or whatever player you use to view the files.
I suggest you install some codec pack - the one I use is K-Lite codec pack - google these search keywords as there are several download locations to get it from. I also recommend you try the file with "Windows Media Player Classic" - again you may google for this software download - it usually goes hand in hand with K-lite codecs. WMP classic handles MPG files internally - MPG1 (older type) and MPG2 (DVD format type). MPG4 is usually contained in WMV or AVI file but can sometimes also have MP4 extension.