MEncoder can create MPEG (MPEG-PS) format output files. It's probably useful only with libavcodec's mpeg1video codec, because players - except MPlayer - expect MPEG-1 video, and MPEG-1 layer 2 (MP2) audio streams in MPEG files.
This feature is not very useful right now, aside that it probably has many bugs, but the more importantly because MEncoder currently cannot encode MPEG-1 layer 2 (MP2) audio, which all other players expect in MPEG files.
To change MEncoder's output file format, use the -of mpeg option.
mencoder -of mpeg -ovc lavc -lavcopts vcodec=mpeg1video -oac copy other_options media.avi -o output.mpg