That depends on the Mpeg you have and the possibilities of your player.
If its Mpeg1 the best quality you get is with VCD, that you can write to CD~
If its Mpeg 2 you can build a DVD from it. The film files in a DVD have the extension VOB, but its just a special enconded form of MPEG2.
You can do it either a video editor (Ulead VideoStudio, Pinnacle, Magix,...) or with Nero or Roxio packages, for instance. Nowadays there are a lot around that can do it in a simple way.
You also have some freeware but tends to be less user friendly.
Have a look at http://www.videohelp.com/ where you can get ideas about software and tutorials.