Agreed on Microsofts 'Help' pages. They're only useful if you don't need em.
There seems to be a bunch of reasons, why your media player behaves like this. Looking at it from the codec angle seems to be the no. 1 choice here. What troubles me is the fact that your system seems to reject the installation of a new and proper codec tho. And that makes me wonder wether ME is the real reason (some codecs require Win NT compliance which Win ME can't deliver).
Anyhow, may I first suggest the use of Microsoft's Media Player Classic only. Don't bother with Versions 9 or 10. Those where introduced by Billie's boys to get a better grip on copyright handlings and such.
Then I may lead you to a couple of articles I found on the web on your problem:
#1 - An article about the so called 80040154 Error Code (though written for Win XP, it could also be helpful for ME):
80040154 Error Code
#2 - The same error handling as above, just lots shorter in it's discriptions:
How to fix "Class not registered" or 80040154 error
#3 - A posting in the www.mcse.ms board's archive about the issue:
Error message 80040154 in wmp
If those pages and tips don't get you any further you might give this google search term a shot:
windows me + error + class not registered + mpeg
I'm pretty sure somebody has encountered the same problem before and has found a solution. Chances are good somebody wrote it down for ya already.
Bon chance! 