Depending on the quality of the original conversion and the quality of the DVD your buddy gave you the file might be corrupted or it may have it's index broken. As someone above said you can try the free VLC player application to play.
While DVD players usually play MPG files those are usually in the CD-Video format,
and so if burned on DVD seperately they may not play, they need to be in the proper
directory structure on the CD for the DVD player to recognise them as a VideoCD.
As someone else said the other video files may be AVI, MOV or even MKV files. These are different container formats for video and your player will 1 probably not be able to play these back. You'll need to convert each file to an MPEG2 M2V file and then burn a VIDEO
DVD (standard playable DVD) using Nero, Roxio EzyDVD Creator or one of many other 3rd
party apps around. They may even do this all for you in one step and allow you to
add a DVD menu if you want to play with that. Remember also that some files may be HD files (with higher res) so additional settings will need to be enabled in the conversion/DVD mastering/burning program (resampling/downscaling).