For conversion between avis and wmv's(to and fro) there is a decent freeware tool called Stoik Video Converter(Google for it). For conversion between wmv's to mpegs,what you could do is a 2 step conversion process, Use Stoik tyo convert to avi and then use the tons of stuff available to convert the avi to mpegs(google for them).
By the way if you got money to burn then there are several tools available like Tmpgenc Plus to convert to mpegs from any format but for these proggies to recognise Wmvs as a valid input file you will probably require a plugin(like avisynth is a Tmpgenc plugin to recognise avis).
There must be other freewares available that do the same but they too will require plugins.(Google for them)
Hope this helps.
PS. Dont know of anything that does both. Sorry.