WMV is a windows proprietary format, and needs codecs for it's compression algorithm. As you've found, they're great for storing huge long videos on your machines, but you can't share them with all your friends running different software than you have. Microsoft likes it this way.

MPG1 is lossless (bigger file sizes, longer downloads) but it's been around a while and many more browsers know how to deal with them.

Here's a short tutorial on formats I found while searching "mpg vs wmv format" :
http://www.livejournal.com/users/happy_goth/278767.html