That mpg programme stream contains MPEG-2 video and PCM sound, it plays well.
I'd assume you haven't installed a DVD Video (= MPEG-2) codec on your computer.
My recommendation for Windows users is the CCCP (Combined Community Codec Pack), which is a small free and open source software package.
It is up to you if you choose to install the MPC-HC (Media Player Classic - Home Cinema) which is in the package or only the codecs and media splitter.