You could leave it as an .mpg and watch it with either
Pocket TV or BetaPlayer but you cannot play .avi, .mpg or Divx files on WMP10 just .asf or .wmv movie files play on WMP10 for Pocket PC. Is there a save as .wmv setting on your AIW card? That way you could cut out the middleman. If bigds63 is who I think he is check out his guides if you go the conversion route. He's practically a Pro at it.