Providing the Windows MMSystem layer has a MPEG decoder installed, you can easily use the MultiMedia play a MPEG file by setting the filename to the path of the MPEG file.

Example:
procedure TForm .Button Click(Sender: TObject);
begin
  MediaPlayer .Filename := 'C:\DownLoad\rsgrow.mpg';
  MediaPlayer .Open;
  MediaPlayer .Display := Panel ;
  MediaPlayer .DisplayRect := Panel .ClientRect;
  MediaPlayer .Play;
end;